Equilibrium Price Dynamics of Emission Permits
建立了一个环境市场的随机均衡模型，研究总量控制与交易制度下排放配额价格的特征，揭示其作为投资和消费资产混合体的性质，并解释价格波动、远期曲线和期权定价等经验事实。
This article presents a stochastic equilibrium model for environmental markets that allows us to study the characteristic properties of emission permit prices induced by the design of today’s cap-and-trade systems. We characterize emission permits as highly nonlinear contingent claims on economy-wide emissions and reveal their hybrid nature between investment and consumption assets. Our model makes predictions about the dynamics and volatility structure of emission permit prices, the forward price curve, and the implications for option pricing in this market. Empirical evidence from existing emissions markets shows that the model explains the stylized facts of emission permit prices and related derivatives.