국제 ETS시장 간의 변동성 전이효과

초록

This paper analyzes the volatility spillover effects between the Korean, European, and Chinese ETS markets using daily ETS price data from January 1, 2015 to December 31, 2023. First, we analyzed the volatility of each ETS market using the GARCH model, and then we analyzed the volatility spillover effect between international ETS markets using the BEKK-GARCH model. The study results showed that the Korean and Chinese ETS markets are more subject to external influences than the European ETS market and are less affected by market-specific information. In addition, it was confirmed that the Korean ETS market has no volatility spillover effect from the European ETS market, but has a volatility spillover effect from the Chinese ETS market. This paper presents the following policy implications: First, transactions in the Korean ETS market should be activated; second, a supervisory management system for the Korean ETS market should be established; and third, various problems or potential benefits and costs that may arise when linking the Korean ETS market with the international ETS market should be predicted.

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