Carbon price volatility in the New Zealand Emission Trading Scheme
研究分析了新西兰排放交易计划中碳价格的波动情况，发现碳信用供应、需求侧因素和监管调整对价格波动有显著影响，为管理碳市场波动风险提供了参考。
The design of an emission trading scheme (ETS) critically influences its efficacy in reducing carbon emissions. This study enhances the international discourse by analyzing carbon price volatility in the New Zealand emission trading scheme (NZ ETS), a system distinct for its greenhouse gas emissions targets, direct trade of forestry entitlements by forestry participants in the secondary market, and the allowance for unlimited surrender of these entitlements to meet emission obligations. Utilizing daily time series data from 1 July 2010 to 31 December 2022, we apply ARIMA ( p, d, q )-GARCH ( m, n )-X models to evaluate the effects of supply-side, demand-side, and regulatory factors on carbon price volatility in the NZ ETS. The findings reveal: (1) Entitlements exert significant long-term effects on volatility, initially positive due to increased supply followed by negative impacts, consistent with mean reversion theory; (2) Demand-side factors influence carbon price volatility only in the short term due to the stable demand for allowances; (3) Successful auctions and policy announcements related to the supply and demand of tradeable units significantly affect volatility; and (4) Regulatory adjustments to entitlement supply notably alter price dynamics in the NZ ETS. These insights assist policymakers in managing ETSs with substantial potential supplies of carbon credits, helping mitigate volatility risks. The evidence-based conclusions also serve as a valuable reference for Southeast Asian countries and those with abundant forest resources establishing or operating ETSs to meet their climate goals. • Address gaps in research on carbon price volatility in small or emerging ETSs. • Conduct an original empirical analysis of carbon price volatility. • Assess supply, demand, and regulatory drivers of carbon price volatility. • Examine effects of entitlement supply and regulation on price volatility. • Offer insights for Southeast Asia and forest-rich economies.