EU ETS Market Expectations and Rational Bubbles
研究了欧盟碳排放交易体系配额价格飙升是否由理性泡沫驱动，利用期货价格构建预期，发现没有理性泡沫，与配额稀缺预期转变一致。对关注碳市场和资产泡沫的学者有参考价值。
Abstract The European Union Emissions Trading System (EU ETS) experienced sharp allowance price increases from 2018 onward, prompting claims that rational bubbles were driving the surge. We reassess this hypothesis using expectations based on futures prices. We modify an existing testing approach under risk‐neutrality and show that this version of the test is valid in the presence of a dynamic risk premium and robust when the underlying fundamental exhibits a unit root or mildly explosive behavior. Using weekly spot and futures data from 2013 to 2023, we find no evidence of rational bubbles. The evidence is consistent with shifting allowance‐scarcity expectations.