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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Energy Economics, Volume 33, Issue 5, September 2011, Pages 995–1003
In order to comply with their commitments under the Kyoto Protocol, France and Germany participate in the European Union Emission Trading Scheme (EU ETS) which predominantly concerns the electricity-generation sectors. In this paper we ask whether the EU ETS provides the appropriate economic incentives to produce an efficient system in line with the Kyoto commitments. If so, electricity producers in the countries concerned should include the price of carbon in their cost functions. After identifying different sub-periods of the EU ETS during its pilot phase (2005–2007), we model the prices of various electricity contracts in France and Germany and look at the volatility of electricity prices around their fundamentals while evaluating the correlation between electricity prices in the two countries. We find that electricity producers in both countries were constrained to include the carbon price in their cost functions during the first two years of the EU ETS. Over this period, German electricity producers were more constrained than their French counterparts, and the inclusion of the carbon price in the electricity-generation cost function was much more stable in Germany than in France. We also find evidence of fuel switching in electricity generation in Germany after the collapse of the carbon market. Furthermore, the European market for emission allowances has greatly contributed to the partial alignment of the wholesale price of electricity in France to that in Germany.
To implement the Kyoto Protocol, the European authorities established the European Union Emissions Trading Scheme (EU ETS). This is mainly concerned with energy2 and the major emitters of the industrial sector. The market is based on a “cap and trade” mechanism. Market players receive free annual carbon-emission permits at the beginning of the year. They then fulfil their commitment by providing permits corresponding to the tons of CO2 they have emitted by the end of the year. Those that have emitted more CO2 than their allocation comply by buying more permits on the market. The energy sector, and particularly the electricity-generation sector, is by far the biggest CO2 emitter. It hence received the largest share of the Community allocation of permits over the 2005–2007 period. This allows us to trace out more clearly the close relationship between the electricity market, the market for fossil fuels used in electricity generation and the European market for CO2 permits. The main objective of the EU ETS is to encourage the industry's biggest emitters to reduce their carbon emissions and invest in clean technologies. Achieving this objective relies on a real carbon price signal inducing electricity producers to make long-run choices to produce electricity with fewer emissions. In this context, the ex-post empirical analysis of the impact of the European market for CO2 permits on energy markets is essential for the assessment of the efficiency and consequences of the EU ETS. The price of electricity is determined by the cost of fossil fuels, the impact of environmental policies, and climatic factors such as temperature and rainfall. Economic theory suggests that the carbon price is a marginal cost and that the opportunity cost of the carbon permit equals its market price. As such, the carbon price should be reflected in the price of electricity. Empirically, the sharp fall in the price of CO2 of about 10 €/t in April 2006 which was immediately followed by a fall of 5 to 10 €/MWh on the electricity market (Reinaud, 2007), and the English company British Energy losing 5% of its market capitalization over three days in the same period (Bunn and Fezzi, 2007) suggest a link between the carbon and electricity markets. There has been considerable work on the effect of carbon prices on electricity prices in various European markets over the past five years. Sijm et al., 2005 and Sijm et al., 2006 use OLS to determine the fraction of the carbon price reflected in electricity prices in Holland and Germany. Honkatukia et al., 2007 and Honkatukia et al., 2008 consider the long- and short-run dynamics of electricity, gas and coal prices and the price of carbon permits in the Finnish market via a VAR analysis. Bunn and Fezzi (2007) adopt a similar approach to analyze the English electricity market, without taking into account the price of coal but including temperature and seasonal dummies as exogenous variables. They carried out a structural analysis of the relationship between energy and carbon prices through short-run restrictions. The results are mixed regarding the effect of the EU ETS on electricity prices (Reinaud, 2007). This is mainly due to the coexistence of different electricity markets in Europe and the heterogeneity of National energy mixes. In addition, existing analysis has been restricted to the January 2005 to December 2006 period and has neglected any structural breaks in the carbon spot price. We here aim to provide a sound assessment of the impact of the EU ETS on the electricity-generation sector, taking the heterogeneity of National energy mixes into account. We deal with the volatility of the electricity price around its fundamentals and compare two European countries with very different energy mixes, France and Germany. The estimated models are based on electricity-generation cost functions including the cost of carbon. The estimation methodology allows us to measure the instantaneous correlation between the wholesale electricity prices across the two countries. We cover the whole pilot phase of the EU ETS (2005–2007) and take into account different sub-periods. The paper is organized as follows. Section 2 presents the functioning of the electricity sector and the EU ETS, and the price-formation mechanism for emission permits and their impact on the electricity sector. Section 3 presents a descriptive analysis of the relationship between electricity markets on the one hand and primary energy and carbon markets on the other; this section also describes the econometric modelling. Section 4 presents the results and their interpretation, and Section 5 concludes.
نتیجه گیری انگلیسی
In this paper we have estimated the relationship between electricity prices, the prices of primary energies used in electricity generation and the price of carbon dioxide emission permits, in both France and Germany. This has revealed heterogeneity in the responses of the electricity-generation sectors to carbon constraints, and allowed us to evaluate the efficiency of the EU ETS. We have shown that the impact of carbon constraints during the pilot phase of the EU ETS depended on the country's energy mix. This impact was felt in two phases. The first covers the first two years of the EU ETS, during which electricity producers included the cost of carbon in their production cost function; in the second the carbon constraint no longer affected electricity producers' decisions. However, producers in countries using predominantly fossil fuels, which are considerable carbon emitters, experienced more carbon coercion and were thus more likely to include the price of emission permits in their electricity-generation cost functions. The conditional correlation between the prices of day-ahead electricity contracts in France and Germany dropped by 30% between the two phases. This drop was due to the collapse of the carbon price and its convergence towards zero. Hence, the EU ETS has contributed considerably to the partial alignment of the wholesale price of electricity in France and Germany. Over the whole pilot phase (2005–2007), the European market for emission allowances was unable to compel electricity producers to reduce their emissions and invest in cleaner technologies. However, it did represent a significant step towards the objectives of the Kyoto Protocol. The inefficiency of the EU ETS was mainly due to the largesse granted by the national authorities of European countries to their power-generation sectors which were considered to be strategic, and to certain defining mechanisms set up by the EU ETS. Thus, excess allocations and the impossibility of “banking” for subsequent periods bounded the horizon of the carbon market and eventually prevented the creation of scarcity, which is the essence of carbon coercion. This greatly contributed to the collapse of the carbon spot price at the end of the pilot phase of the EU ETS, relaxing the carbon coercion to which producers of electricity were subject in the first two years of the carbon market.