Mutual Influences Among the Electricity Market, Carbon Emission Market, and Renewable Energy Certificate Market

Hongbo Zou, Yuhong Luo, Fushuan Wen (), Jiehao Chen, Jinlong Yang and Changhua Yang
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Hongbo Zou: College of Electrical Engineering and New Energy, China Three Gorges University, Yichang 443002, China
Yuhong Luo: College of Electrical Engineering and New Energy, China Three Gorges University, Yichang 443002, China
Fushuan Wen: Hainan Institute, Zhejiang University, Sanya 572025, China
Jiehao Chen: College of Electrical Engineering and New Energy, China Three Gorges University, Yichang 443002, China
Jinlong Yang: College of Electrical Engineering and New Energy, China Three Gorges University, Yichang 443002, China
Changhua Yang: College of Electrical Engineering and New Energy, China Three Gorges University, Yichang 443002, China

Energies, 2024, vol. 17, issue 23, 1-15

Abstract: With the advancement and development of the electricity market (EM), carbon emission market (CEM), and renewable energy certificate market (RECM), promoting the integration and growth of the EM alongside carbon emission trading, renewable energy certificate trading, and other related markets is becoming increasingly important for high-quality development of the power industry. Analyzing the intrinsic connections among these three types of markets can facilitate their coordinated development. In this study, we selected monthly data on European Union (EU) carbon emission futures, French electricity trading prices, and the price of Guarantees of Origin (GO) in France from March 2019 to March 2024 and utilized the Bayesian time-varying stochastic volatility vector autoregression model (TVP-SV-VAR) with time-varying parameters to effectively capture the dynamic changes among the three markets and to analyze the relationships and characteristics of the EM, CEM, and RECM across different historical contexts. Simulation results showed that the influences of the EM and CEM on the RECM were relatively low, with more pronounced short-term effects and relatively stable medium- and long-term effects. In contrast, the influences of the CEM and RECM on the EM were significant, with more pronounced short-term effects and stable medium- and long-term effects. The influences of the EM and RECM on the CEM were significant in the short term.

Keywords: electricity market; carbon emission market; renewable energy certificate market; Bayesian time-varying stochastic volatility vector autoregression model (TVP-SV-VAR) (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2024
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