本研究利用歐洲能源交易所歷史價格資料，以GARCH模型分析2008年3月至2009年12月之二氧化碳排放交易價格波動現象(簡稱碳價格波動)。本文除考慮能源變數外，亦納入氣溫極端虛擬變數，其中能源變數轉換為波動形式或變動率形式，以了解各類能源對於碳價格波動究竟為何。本文實證結果概述如下：

一、未擺入能源變數落後期分析碳價格波動之實證結果：
煤炭價格波動、原油價格波動、發電廠採用天然氣發電報酬變動率，以及每單位碳排放之天然氣溢價變動率對於碳價格波動具正向影響。顯示使用上述能源，除能源需求上升帶動能源價格上升外，也帶動碳排放權需求上升，因此對碳價格波動有正向影響。

二、擺入能源變數落後期分析碳價格波動之實證結果：
當期能源變數對碳價格波動影響與上述相同外，落後期探討的部分：煤炭價格落後期波動與原油價格落後期波動，除對碳價格波動顯著影響，亦造成煤炭價格當期波動與原油價格當期波動有顯著影響。

三、未擺入能源變數落後期的探討，對於碳價格波動持續影響的程度，會大於擺入能源變數落後期的影響程度。

In this paper we use GARCH model to analyze the daily carbon prices volatility of European Union Allowances (EUAs) traded in the European Energy Exchange with a sample period from March 2008 to December 2009. We consider both the energy prices and two extreme weather dummy variables.

Three empirical results were found. First of all, the coal price volatility, the oil price volatility, the CDS volatility and the Switch volatility have singnificant and positive effect on carbon price volatility without consideration of energy related lag variables. Secondly, the coal price volatility and the oil price volatility are significant in explaing the carbon price volatility by considering energy related variables. Finally, the volatility effect on carbon price without lags effect is larger than the effect with lags effect.

目錄
表目錄 II
圖目錄 III
第一章  緒論 1
    1.1  研究背景與動機 1
    1.2  研究目的 7
    1.3  本文架構 7
第二章  文獻回顧 9
    2.1  總量管制與排放交易 9
    2.2  影響溫室氣體排放權價格因素探討 19
    2.3  碳價格波動相關文獻 19
    2.4  綜合歸納整理 21
第三章  研究方法與實證模型 29
    3.1  單根檢定 29
    3.2  GARCH模型 31
    3.3  實證模型設立 35
第四章  資料來源與實證分析結果 40
    4.1  基本統計分析 40
    4.2  實證分析結果	61
第五章  結論與建議	 70
    5.1  結論	 70
    5.2  後續研究 72
參考文獻 74
    中文參考文獻 74
    英文參考文獻 74
    網路資料 78
附錄 79
 

表目錄
表1- 1  聯合國氣候變化綱要公約附件一國家一覽表 3
表1- 2  京都議定書附件B國家及排放量限制或削減承諾一覽表 4
表2- 1  1980年至2007年全球各地區碳密集度 18
表2- 2  「總量管制與排放交易」相關文獻要覽 23
表2- 3  「影響溫室氣體排放權價格因素探討」相關文獻要覽	27
表2- 4  「碳價格波動」相關文獻要覽 28
表4- 1  變數英文代號、定義、資料來源、單位與期間 42
表4- 2  各國允許排放二氧化碳數量暨份額─第二期(2008年─2012年) 49
表4- 3  變數定義表 50
表4- 4  原始能源變數─基本統計量 52
表4- 5  原始能源變數─單根檢定結果 56
表4- 6  能源變數波動(變動率)─基本統計量 57
表4- 7  能源變數波動(變動率)─單根檢定結果 60
表4- 8  OLS─Ljung-Box Q2(q)統計量結果 61
表4- 9  OLS─ARCH-LM統計量結果 62
表4- 10  GARCH (p,q)最適報酬模型選擇─模型1(不含能源變數落後期) 63
表4- 11  GARCH(p,q)最適報酬模型選擇─模型2(含能源變數落後期) 63
表4- 12  GARCH(1,1)─Ljung-Box Q2(q)統計量結果 64
表4- 13  GARCH(1,1─ARCH-LM統計量結果 64
表4- 14  GARCH(1,1)估計結果 68
附表 1  歐洲四國氣象觀測站一覽表 79

 
圖目錄
圖1- 1  全球平均地表溫度、海平面高度、北半球冰雪覆蓋圖 1
圖1- 2  碳排放交易流程圖 5
圖1- 3  研究流程圖 8
圖4- 1  2005年至2009年原始二氧化碳排放權現貨價格趨勢圖 41
圖4- 2  能源變數─原始價格趨勢圖 53
圖4- 3  CDS、CSS、Switch─原始價格趨勢圖 54
圖4- 4  能源變數─波動形式趨勢圖 58
圖4- 5  CDS、CSS、Switch─變動率形式趨勢圖 59

中文參考文獻
吳國卿(譯) (2008)。碳交易：氣候變遷的市場解決方案(原作者：Sonia Labatt, Rodney R. White)。台北市：財信出版有限公司。

李叢禎(2007)。我國推行碳排放交易的要件、利基與問題。碳經濟，7期，11-19。

林奇璋、余騰耀(2007)。我國推行CO2排放交易之要件、利基與問題。碳經濟，7期，2-10。

張四立(2009)。電力結構調整對台灣因應溫室氣體減量效果評估。碳經濟，13期，34-51。

梁啟源(2007)。我國永續發展之能源價格政策。臺灣經濟預測與政策，37卷2期，1-35。

劉國忠(2007)。我國CO2排放權的核配規劃與落實。碳經濟，7期，20-28。

簡慧貞、呂鴻光、蔡妙姍、楊斐喬、郭瑾瑋、周裕豐(2009)。從國際低碳社會建構看我國節能減碳推動。碳經濟，13期，2-33。

簡慧貞、胡文正、呂鴻光 (2009)。溫室氣體減量及碳排放交易路線。碳經濟，12期，39-61。


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網路資料
美國能源資訊署(Energy Information Administration, EIA)，網址：http://www.eia.doe.gov/。

歐洲中央銀行(European Central Bank, ECB)，網址：http://www.ecb.int/home/html/index.en.html。

歐洲氣候監測資料庫(European Climate Assessment & Dataset, ECA&D)，網址：http://eca.knmi.nl/。

歐洲能源交易所(European Energy Exchange, EEX)，網址：http://www.eex.com/en/。

聯合國跨政府氣候變遷小組(Intergovernmental Panel on Climate Change, IPCC)，網址：http://www.ipcc.ch/index.htm。