The puzzle of Carbon Allowance spread
研究发现欧洲碳配额市场存在持续的成本持有价差，并首次用企业信用利差解释这一异常，建议欧洲央行将碳配额纳入合格抵押品以解决市场低效。
A growing number of contributions in the literature have identified a puzzle in the European carbon allowance (EUA) market. Specifically, a persistent cost-of-carry spread (C-spread) over the risk-free rate has been observed. We are the first to explain the anomalous C-spread with the credit spread of the corporates involved in the emission trading scheme. We obtain statistical evidence that the C-spread is cointegrated with both this credit spread and the risk-free interest rate. This finding has a relevant policy implication: the most effective solution to solve the market anomaly is including the EUA in the list of European Central Bank eligible collateral for refinancing operations. This change in the ECB monetary policy operations would greatly benefit the carbon market and the EU green transition. • The C-spread: a persistent market inefficiency in the EU carbon trading scheme. • The credit spread of major polluting firms explains the C-spread. • Policy implication: add carbon allowances to the list of ECB eligible collaterals.