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The wealth effect of the US net zero announcement 美国零净值公告的财富效应

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-30 DOI: 10.1016/j.eneco.2024.107945

This study investigates the impact of announcements relating to climate change mitigation in the US on the Energy Select Sector ETF (XLE), starting with the US president's net zero emissions announcement on 22 April 2021. We use options market data, in addition to ETF market data, to disaggregate the news effect and value effect of the announcement, finding a positive news effect ($1.65 billion) but a negative value effect (−$2.02 billion). The novel approach proposed by Barraclough et al. (2013) is adopted to identify traders' perceived probability of the achievement of net zero emissions as perceived by investors, finding that investors assigned a 30.9 % probability. Given the difficult journey of the passage of the net zero bill through Congress, we also examine the investors' perceived probability of achievement of later initiatives, as well as their news and value effects. Estimation around the introduction of the Inflation Reduction Act (IRA) in Congress on 27 October 2021 shows a positive news effect ($824.61 million) and an almost analogous, negative value effect (−$2.32 billion). The news effect is a result of the signal to the market that reduces policy uncertainty and enables fossil fuel firms to plan with greater certainty the transition to clean energy and the value effect comes from the fact that some reserves may not be able to be extracted and some assets will be stranded. This study finds if the net zero emissions announcement is successfully enacted as legislation, the value of XLE would be 96.90 % of its current value while a failure to become legislation leads to a rise in the value of XLE to reach 106.90 % of its current value.

本研究以 2021 年 4 月 22 日美国总统宣布净零排放为起点，调查了美国减缓气候变化相关公告对能源行业精选 ETF（XLE）的影响。除 ETF 市场数据外，我们还使用期权市场数据来分解该公告的新闻效应和价值效应，结果发现新闻效应为正（16.5 亿美元），但价值效应为负（-20.2 亿美元）。我们采用 Barraclough 等人（2013 年）提出的新方法来确定交易者认为投资者实现净零排放的概率，结果发现投资者认为实现净零排放的概率为 30.9%。鉴于净零排放法案在国会获得通过的艰难历程，我们还考察了投资者对后来倡议实现的感知概率，以及它们的新闻效应和价值效应。围绕 2021 年 10 月 27 日国会出台的《通货膨胀削减法案》（IRA）进行的估算显示出积极的新闻效应（8.2461 亿美元）和几乎类似的消极价值效应（-23.2 亿美元）。新闻效应是由于向市场发出了减少政策不确定性的信号，使化石燃料企业能够更有把握地规划向清洁能源的过渡，而价值效应则是由于一些储量可能无法开采，一些资产将被搁置。本研究发现，如果净零排放公告成功立法，XLE 的价值将是其当前价值的 96.90%，而如果未能立法，XLE 的价值将上升到其当前价值的 106.90%。

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引用次数: 0

Risk premium, price of risk and expected volatility in the oil market: Evidence from survey data 石油市场的风险溢价、风险价格和预期波动：来自调查数据的证据

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-30 DOI: 10.1016/j.eneco.2024.107930

This paper contributes to the literature on crude oil risk premiums by providing ex-ante measures of these premiums using survey oil price expectations over an extended period. These ex-ante premiums are uncorrelated with ex-post premiums commonly used in existing studies, whereas they are more relevant as they directly influence investors' decision-making. Utilizing a portfolio choice model, we explain the ex-ante premium as the product of the price of risk and the expected variance, both varying over time and across horizons. We estimate this relationship using a multivariate state-space framework. From our estimated risk prices we find, on average, that investors exhibit risk-seeking behaviour in the short term and risk aversion in the long term. It follows that the term structure of oil risk premiums are prominently upward-sloping. Additionally, consistent with the prospect theory, investors are found to be predominantly risk averse in a context of expected gains and risk-seeking in a context of expected losses. Finally, the dynamics of risk prices are shown to be driven by identifiable economic, financial, and oil market-related factors.

本文利用长期的油价预期调查，对原油风险溢价进行事前测算，为原油风险溢价方面的文献做出了贡献。这些事前溢价与现有研究中常用的事后溢价不相关，但由于它们直接影响投资者的决策，因此更具相关性。利用投资组合选择模型，我们将事前溢价解释为风险价格与预期方差的乘积，两者均随时间和期限而变化。我们利用多变量状态空间框架来估算这种关系。根据我们估算的风险价格，我们发现投资者在短期内平均表现出风险寻求行为，而在长期内则表现出风险规避行为。因此，石油风险溢价的期限结构明显向上倾斜。此外，与前景理论一致，投资者在预期收益的情况下主要是风险规避，而在预期损失的情况下则主要是风险寻求。最后，风险价格的动态受可识别的经济、金融和石油市场相关因素的驱动。

引用次数: 0

Cost, innovation, and emissions leakage from overlapping climate policy 重叠气候政策的成本、创新和排放渗漏

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-30 DOI: 10.1016/j.eneco.2024.107949

Jurisdictions have implemented a variety of policy instruments to mitigate greenhouse gas emissions. However, interactions between overlapping climate policies can lead to unintended impacts. This study demonstrates how interactions between an incomplete emissions cap and additional climate policy can result in higher emissions and higher average abatement costs relative to an emissions cap alone. This sectoral policy emissions displacement effect is then quantified through simulations using a computable general equilibrium model for the case of California's low-carbon fuel standard (LCFS) and cap-and-trade program. Emissions increase as a result of the LCFS incentivizing greater production of alternative transportation fuels with emissions not covered by the emissions cap. Emissions leakage can be mitigated by incorporating elements of a fixed-price instrument (i.e. carbon tax) to improve policy complementarity or requiring an obligation for the lifecycle GHG emissions of fuels under the emissions cap.

各辖区已实施各种政策工具来减少温室气体排放。然而，相互重叠的气候政策之间的相互作用可能会导致意想不到的影响。本研究展示了不完全的排放上限与额外的气候政策之间的相互作用如何导致与单独的排放上限相比更高的排放量和更高的平均减排成本。然后，以加利福尼亚州的低碳燃料标准（LCFS）和总量控制与交易计划为例，使用可计算的一般均衡模型进行模拟，对这种部门政策排放转移效应进行量化。由于低碳燃料标准鼓励生产更多的替代运输燃料，而排放上限并不涵盖这些燃料的排放，因此排放会增加。可通过纳入固定价格工具（即碳税）的元素来提高政策互补性，或要求对排放上限下燃料的生命周期温室气体排放承担义务，从而减少排放泄漏。

引用次数: 0

Purchase or generate? An analysis of inter-fuel substitution and electricity generation in Japanese manufacturing plants 购买还是发电？日本制造工厂的燃料替代和发电分析

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-28 DOI: 10.1016/j.eneco.2024.107929

As the manufacturing industry is one of the largest contributors to global emissions, decarbonization of the production line is a key aspect in the fight against climate change. In this study, we examine the level of substitutability between fossil fuel and electricity. Using data on Japanese plants from 2004 to 2020, we estimate the elasticity of substitution between the two inputs and find that a 1 % increase in electricity prices results in a 6.55 % increase in fossil fuel consumption. Our paper also contributes to explaining mechanisms behind inter-fuel substitution, with a special focus on electricity and fossil fuel through cogeneration. We find that substitutability is highly sector-dependent, and identify the pulp & paper, iron & steel, chemicals and cement to be sectors with substitution capacity. These sectors see an increase in their electricity generation, the magnitude of which is estimated between 0.004 % (cement) to 0.23 % (iron & steel). Iron & steel and cement also increase their consumption of coal to power generators by 0.06 % and 0.005 %, respectively. Our findings suggest the need for taxation of both fuel and electricity together, to discourage further substitution attempts that would hinder decarbonization efforts.

制造业是全球排放量最大的行业之一，因此生产线的去碳化是应对气候变化的一个关键环节。在本研究中，我们研究了化石燃料与电力之间的替代程度。利用 2004 年至 2020 年日本工厂的数据，我们估算了两种投入之间的替代弹性，发现电价每上涨 1%，化石燃料消耗量就会增加 6.55%。我们的论文还有助于解释燃料间替代的机制，特别是通过热电联产实现电力和化石燃料的替代。我们发现，替代性在很大程度上取决于行业，并发现纸浆和纸张、钢铁、化工和水泥是具有替代能力的行业。这些部门的发电量有所增加，估计增幅在 0.004%（水泥）到 0.23%（钢铁）之间。钢铁和水泥的发电耗煤量也分别增加了 0.06 % 和 0.005 %。我们的研究结果表明，有必要同时对燃料和电力征税，以阻止进一步的替代企图，从而阻碍去碳化的努力。

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引用次数: 0

Do petrol prices affect inflation and inflation expectations? Evidence from New Zealand 汽油价格会影响通货膨胀和通货膨胀预期吗？新西兰的证据

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-26 DOI: 10.1016/j.eneco.2024.107939

Due to their high visibility, petrol prices shape households' inflation expectations. This paper investigates the dynamic effects of petrol price shocks on one- and five-year inflation expectations in New Zealand; effects on headline and core inflation are also analyzed. Estimating partially identified structural vector autoregression models using Bayesian techniques, we show that petrol price shocks had a slightly delayed but persistent effect on one-year inflation expectations, whereas five-year inflation expectations were largely insensitive to these shocks. We also show that headline inflation increased immediately in response to petrol price shocks, while core inflation remained unaffected. Counterfactual analysis reveals that inflation and inflation expectations would have been higher in the absence of petrol price shocks during the second half of 2020. The results underscore the importance of petrol prices in influencing households' short-term inflation expectations, offering valuable insights for policymakers focused on managing the cost of living and inflation expectations in New Zealand.

由于其高度可见性，汽油价格影响着家庭的通胀预期。本文研究了汽油价格冲击对新西兰一年期和五年期通胀预期的动态影响；还分析了对总体通胀和核心通胀的影响。我们利用贝叶斯技术对部分确定的结构向量自回归模型进行了估计，结果表明，汽油价格冲击对一年期通胀预期的影响略有延迟，但具有持续性，而五年期通胀预期对这些冲击基本不敏感。我们还表明，总体通胀率在汽油价格冲击下立即上升，而核心通胀率则不受影响。反事实分析表明，在 2020 年下半年没有汽油价格冲击的情况下，通胀率和通胀预期会更高。这些结果强调了汽油价格在影响家庭短期通胀预期方面的重要性，为致力于管理新西兰生活成本和通胀预期的政策制定者提供了宝贵的见解。

引用次数: 0

Modeling daily energy use in British homes amidst the electricity market crisis: Insights from smart meter and socio-technical data 电力市场危机下英国家庭日常能源使用建模：智能电表和社会技术数据的启示

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-26 DOI: 10.1016/j.eneco.2024.107933

This study examines the factors influencing daily electricity use in UK homes during the electricity market crisis. Using data from smart meters and socio-technical sources, the research identifies key drivers of electricity consumption, such as household size, weather conditions, and appliance use. Results from a sample of British homes, analyzed through linear mixed effects modeling, show that households with more occupants, greater number of adults, higher heating settings, and fewer energy-saving efforts consume more energy. Weather, housing type, and air conditioning also play significant roles. The findings highlight the importance of integrating smart meter data with other sources to develop effective energy-saving strategies and inform targeted conservation policies.

本研究探讨了电力市场危机期间影响英国家庭日常用电的因素。研究利用智能电表和社会技术来源的数据，确定了家庭规模、天气条件和电器使用等用电的关键驱动因素。通过线性混合效应模型分析英国家庭样本的结果表明，居住人数较多、成年人数量较多、供暖设置较高、节能措施较少的家庭消耗的能源较多。天气、住房类型和空调也起着重要作用。研究结果凸显了将智能电表数据与其他数据源相结合，以制定有效的节能策略和有针对性的节能政策的重要性。

引用次数: 0

Climate policy uncertainty and energy transition: Evidence from prefecture-level cities in China 气候政策的不确定性与能源转型：来自中国地级市的证据

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-26 DOI: 10.1016/j.eneco.2024.107938

Extreme weather has become a severe threat to humanity today, with a major blow to energy systems. Energy transformation has become a significant trend in global development, and China has the responsibility and obligation to combat climate change. This paper examines the impact of climate policy uncertainty on energy transformation in China at prefecture-level cities level. A new climate policy uncertainty index and a new measure of energy transition are proposed. The results indicate that climate policy uncertainty has a negative impact on the energy transition. The result still holds after a series of robustness tests. Further analysis shows that the adverse impact of climate policy uncertainty on the energy transition weakens with more proactive government behavior and greater public environmental concerns. For cities that are economically underdeveloped, non-resource oriented and officials’ promotion pressure mounting, the disincentive to energy transition is greater when climate policy uncertainty rises.

极端天气已成为当今人类面临的严重威胁，对能源系统造成重大打击。能源转型已成为全球发展的重要趋势，中国有责任和义务应对气候变化。本文从地级市层面研究了气候政策不确定性对中国能源转型的影响。提出了新的气候政策不确定性指数和新的能源转型衡量指标。结果表明，气候政策不确定性对能源转型有负面影响。经过一系列稳健性检验后，结果仍然成立。进一步的分析表明，气候政策不确定性对能源转型的不利影响会随着政府行为的更加积极主动和公众对环境问题的更加关注而减弱。对于经济欠发达、非资源导向型和官员升迁压力增大的城市，当气候政策不确定性上升时，能源转型的抑制作用会更大。

引用次数: 0

Addressing the reliability challenge: Subsidy policies for promoting renewable electricity consumption 应对可靠性挑战：促进可再生能源电力消费的补贴政策

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-25 DOI: 10.1016/j.eneco.2024.107926

The intermittency and volatility of renewable electricity pose challenges to supply reliability, which is not conducive to renewable energy consumption. To ensure a reliable electricity supply, more governments implement subsidy policies to promote the adoption of innovative technologies by renewable energy producers to enhance supply reliability. We compare two types of subsidies provided by a government: investment subsidy (IS) policy, which is implemented in the deployment stage to directly reduce improvement costs, and operational subsidy (OS) policy, which is implemented in the operational stage to increase the renewable energy producer’s marginal returns. First, we show that without government intervention, customers’ low green consciousness or higher improvement costs may prevent the renewable energy producer from enhancing supply reliability. Second, through a comprehensive comparison, we find that both subsidy policies can incentivize the renewable energy producer to improve supply reliability when customers are more green-conscious, and the improvement cost is high. However, the OS policy and the IS policy operate on different mechanisms: the IS policy can directly alleviate the improvement cost burden on the renewable energy producer, while the OS policy serves a dual role of increasing the renewable energy producer’s marginal operational profit and expanding the market demand for renewable electricity. When customers’ green consciousness is low, the government can only choose whether or not to implement the OS policy. Finally, we highlight that the implementation of the IS policy by the government may not be more beneficial to both the renewable energy producer and customers compared to the OS policy. This result informs regulators that energy security should be considered when designing subsidy policies and should not be limited to promoting the interests of participants.

可再生能源电力的间歇性和波动性给供电可靠性带来了挑战，不利于可再生能源的消费。为了确保可靠的电力供应，越来越多的政府实施补贴政策，促进可再生能源生产商采用创新技术，以提高供电可靠性。我们比较了政府提供的两种补贴：一种是投资补贴政策（IS），在部署阶段实施，直接降低改进成本；另一种是运营补贴政策（OS），在运营阶段实施，提高可再生能源生产商的边际收益。首先，我们表明，如果没有政府干预，客户的低绿色意识或较高的改进成本可能会阻碍可再生能源生产商提高供电可靠性。其次，通过综合比较，我们发现当客户的绿色意识较强、改善成本较高时，两种补贴政策都能激励可再生能源生产商提高供电可靠性。但是，OS 政策和 IS 政策的运行机制不同：IS 政策可以直接减轻可再生能源生产商的改善成本负担，而 OS 政策则具有增加可再生能源生产商边际运营利润和扩大可再生能源电力市场需求的双重作用。当用户的绿色意识较低时，政府只能选择是否实施操作系统政策。最后，我们强调，与操作系统政策相比，政府实施 IS 政策对可再生能源生产商和客户都未必更有利。这一结果告诉监管机构，在设计补贴政策时应考虑能源安全，而不应仅限于促进参与者的利益。

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引用次数: 0

Sustainable energy practices and cryptocurrency market behavior 可持续能源实践与加密货币市场行为

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-25 DOI: 10.1016/j.eneco.2024.107937

We examine the effects of energy usage on the return, volatility and jump processes in the Bitcoin (BTC) and Ethereum (ETH) markets. Our main finding indicates that while BTC returns respond significantly to changes in electricity consumption, the effect of electricity consumption on ETH returns is negligible. We attribute this discrepancy to BTC's relative energy inefficiency, which contrasts with ETH's commitment to transitioning to a more energy-efficient mining protocol over our sample period. Additionally, we show that the effect of electricity consumption on cryptocurrencies is mitigated by media coverage and policy uncertainty regarding the state of the economy, environment, and cryptocurrency markets. Our results suggest that when trading cryptocurrencies, investors consider their relative energy efficiency and price electricity consumption differently, highlighting the influence of the transition towards more sustainable energy practices on investor preferences and investment decisions in cryptocurrency markets.

我们研究了能源使用对比特币（BTC）和以太坊（ETH）市场回报率、波动率和跳跃过程的影响。我们的主要研究结果表明，虽然 BTC 的回报率对电力消耗的变化有显著的反应，但电力消耗对 ETH 回报率的影响却可以忽略不计。我们将这一差异归因于 BTC 相对较低的能效，而 ETH 在样本期内致力于向能效更高的挖矿协议过渡。此外，我们还表明，媒体报道以及有关经济、环境和加密货币市场状况的政策不确定性减轻了电力消耗对加密货币的影响。我们的研究结果表明，在交易加密货币时，投资者会考虑其相对能源效率，并对电力消耗进行不同的定价，这凸显了向更可持续的能源实践过渡对加密货币市场投资者偏好和投资决策的影响。

引用次数: 0

The impact of carbon risk on the cost of debt in the listed firms in G7 economies: The role of the Paris agreement 碳风险对 G7 经济体上市公司债务成本的影响：巴黎协定的作用

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics

Pub Date : 2024-09-24 DOI: 10.1016/j.eneco.2024.107925

The Paris Agreement, signed in 2015, sets ambitious goals for diminishing greenhouse gas emissions and restricting the rise in global temperature to achieve a less carbon-intensive and climate-resilient global economy. The Paris Agreement marked a defining moment in the worldwide response to global warming and has significantly affected the financial sector. Given this background, this research explores the effects of carbon risk on the cost of debt (CoD) in 1428 listed firms across seven economies from 2011 to 2020. The paper also reflects the post-Paris Agreement's involvement and the ESG factors' moderating effect in the empirical models. The study finds a significant impact of carbon risk on CoD following the implementation of the Paris Agreement. Notably, companies with higher carbon risk face higher borrowing rates. However, the effect of ESG on moderating the relationship between carbon risk and CoD is found to be insignificant. Further analyses confirm this finding, as individual pillars of ESG (governance and social aspects) also show insignificant moderating effects.

2015 年签署的《巴黎协定》制定了减少温室气体排放和限制全球气温上升的宏伟目标，以实现碳密集度更低、气候适应性更强的全球经济。巴黎协定》标志着全球应对全球变暖的决定性时刻，并对金融业产生了重大影响。在此背景下，本研究探讨了 2011 年至 2020 年碳风险对七大经济体 1428 家上市企业债务成本（CoD）的影响。本文还在实证模型中反映了《巴黎协定》后的参与和环境、社会和治理因素的调节作用。研究发现，《巴黎协定》实施后，碳风险对CoD有重大影响。值得注意的是，碳风险较高的公司面临较高的借贷利率。然而，研究发现 ESG 对调节碳风险与 CoD 之间关系的影响并不显著。进一步分析证实了这一结论，因为环境、社会和治理的各个支柱（治理和社会方面）也显示出不显著的调节作用。

引用次数: 0

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