Cap-and-trade programs such as the European Union's Emissions Trading System (EU ETS) expose firms to considerable risks, to which the firms can respond with hedging. We develop an intertemporal stochastic equilibrium model to analyze the implications of hedging by risk-averse firms. We show that the resulting time-varying risk premium depends on the size of the permit bank. Applying the model to the EU ETS, we find that hedging can lead to a U-shaped price path, because prices initially fall due to negative risk premiums and then rise as the hedging demand declines. The Market Stability Reserve (MSR) reduces the permit bank and thus, increases the hedging value of the permits. This offers an explanation for the recent price hike, but also implies that prices may decline in the future due to more negative risk premiums. In addition, we find higher permit cancellations through the MSR than previous analyses, which do not account for hedging.

诸如欧盟排放交易系统（EU ETS）之类的总量管制与交易计划使企业面临相当大的风险，企业可以通过对冲来应对。我们开发了一种跨期随机均衡模型来分析规避风险的公司进行对冲的含义。我们表明，由此产生的时变风险溢价取决于许可证银行的规模。将模型应用于欧盟ETS，我们发现对冲会导致U形价格走势，因为价格最初由于负风险溢价而下跌，然后随着对冲需求的下降而上涨。市场稳定储备（MSR）减少了许可证库，因此增加了许可证的对冲价值。这为最近的价格上涨提供了解释，但也意味着由于负风险溢价的增加，未来价格可能会下降。此外，