Carbon Taxation and Electricity Price Dynamics: Empirical Evidence from the Australian Market
研究了澳大利亚碳定价机制实施前后电价波动性的变化，发现碳税期间高低波动状态下的波动水平均降低，且低波动状态的持续性增强，对投资决策和通胀预期有重要影响。
Abstract In this paper, we study the change of Australian electricity price dynamics that was observed before, during and after the two-year period in which a Carbon Pricing Mechanism was in force. We fit a two-states Markov Switching Model, representing a high- and a low-volatility state of the world. To avoid the interference due to periodic patterns, a deseasonalization process accounting for short- and long-term seasonality is carried out prior to the study of volatility. Estimation results highlight that, during the period when the carbon tax applies, the volatility level is lower for both the states of the world. Furthermore, the persistence in the low-volatility state is increased in the presence of the carbon tax. This conclusion is particularly relevant for macroeconomic and investment considerations because the increased uncertainty in electricity prices can significantly influence firms’ investment decisions and shape inflation expectations.