ABSTRACT

The New Zealand Emissions Trading Scheme (NZ ETS) presents an opportunity to compare the theory of linked emissions trading with practice. From 2009 until October 2012 New Zealand was linked to the market under the 1997 Kyoto Protocol and there was no indication that this link would be broken. A series of events starting in late 2012 cast doubt on the future eligibility of Kyoto units in the NZ ETS, made the future of linking in New Zealand uncertain, and may have contributed to price divergence between offshore and domestic units. Delinking was officially confirmed by the New Zealand government in December 2013 to take effect from 31 May 2015. This raises the question of what the effect of delinking and announcements had on the carbon market. To study this effect, we used daily price data in a difference-in-differences model over the period 1 January 2011 to 1 January 2016. From this model, we found evidence that, even with differing pre- and post-time specifications, the government announcements in 2012 caused prices in the two markets – for New Zealand units (NZUs) and Kyoto units – to decouple and NZUs traded at a premium based on their projected scarcity. This is further backed up by the behaviour of the raw price data and the change in the types of units surrendered over this time period. The NZU price reaction to the government announcements (rather than delinking itself) shows strong evidence of a well-functioning market.

Key policy insights

• The NZU price reaction to the delinking announcement shows strong evidence of the New Zealand carbon market reacting in the present to news about the future: a property of any well-functioning market.

• The long period of price divergence between the New Zealand and Kyoto markets has led to a large privately held bank that is a liability to the New Zealand Government and reduces the government's ability to auction NZUs.

• If the NZ ETS had delinked earlier from the Kyoto market it could have avoided a protracted period of arbitrage which significantly inflated the NZU bank.

摘要

新西兰排放交易计划 (NZ ETS) 提供了将关联排放交易理论与实践进行比较的机会。从 2009 年到 2012 年 10 月，新西兰根据 1997 年京都议定书与市场联系在一起，没有迹象表明这种联系会被打破。2012 年底开始的一系列事件使人们对未来京都单位在 NZ ETS 中的资格产生怀疑，使新西兰连接的未来变得不确定，并可能导致离岸单位和国内单位之间的价格差异。新西兰政府于 2013 年 12 月正式确认脱钩自 2015 年 5 月 31 日起生效。这引发了脱钩和公告对碳市场有何影响的问题。为了研究这种影响，我们在差异差异模型中使用了 2011 年 1 月 1 日至 2016 年 1 月 1 日期间的每日价格数据。从该模型中，我们发现证据表明，即使有不同的前后规格，2012 年政府公告导致新西兰单位 (NZU) 和京都单位的两个市场的价格脱钩，NZU 根据其预计的稀缺性以溢价交易。原始价格数据的行为和这段时间内退还的单位类型的变化进一步支持了这一点。NZU 对政府公告的价格反应（而不是脱钩本身）显示出市场运行良好的有力证据。2012 年的政府公告导致新西兰单位 (NZU) 和京都单位这两个市场的价格脱钩，NZU 根据其预计的稀缺性进行溢价交易。原始价格数据的行为和这段时间内退还的单位类型的变化进一步支持了这一点。NZU 对政府公告的价格反应（而不是脱钩本身）显示出市场运行良好的有力证据。2012 年的政府公告导致新西兰单位 (NZU) 和京都单位这两个市场的价格脱钩，NZU 根据其预计的稀缺性进行溢价交易。原始价格数据的行为和这段时间内退还的单位类型的变化进一步支持了这一点。NZU 对政府公告的价格反应（而不是脱钩本身）显示出市场运行良好的有力证据。

关键政策见解

• NZU 对脱钩公告的价格反应显示了新西兰碳市场目前对未来新闻做出反应的有力证据：任何运作良好的市场的财产。

• 新西兰和京都市场之间长期的价格差异导致一家大型私人银行成为新西兰政府的负债，并降低了政府拍卖 NZU 的能力。

• 如果 NZ ETS 早点与京都市场脱钩，它本可以避免长期套利，这导致 NZU 银行大幅膨胀。