An analysis of the dynamic relationships among cross-country carbon emission prices, stock indices, and energy prices; [다국간 국제배출권 가격, 에너지 가격 및 주가지수 간 동태적 관계 분석]

초록

This study investigates the dynamic relationship among cross-country carbon emission prices, energy prices, and stock indices, focusing on four major emissions trading system (ETS) markets: the European Union, South Korea, New Zealand, and Shanghai. Based on daily data from 2015 to 2024, the paper employs a panel vector autoregression (VAR) framework to empirically analyze the short-run and long-run relationships between carbon prices, natural gas prices, and stock market indices. Panel unit root and cointegration tests reveal that while there is no stable long-term equilibrium relationship among these variables, significant short-term causal effects exist. Specifically, natural gas prices have a statistically significant impact on carbon prices in the short run. Higher gas prices reduce industrial electricity demand, subsequently decreasing the demand for carbon emissions and leading to a decline in carbon prices. Rising carbon prices exert downward pressure on stock indices, suggesting that increased carbon costs amplify production expenses and weaken market sentiment. These findings underscore the sensitivity of carbon markets to energy market fluctuations and financial conditions, highlighting the need for effective price stabilization mechanisms such as flexible allowance supply adjustment mechanisms linked to exogenous variables. The paper contributes to the existing literature by incorporating cross-country panel data and deriving policy implications for carbon market stabilization, risk management, and emissions reduction strategy alignment. Future research could enhance robustness by incorporating additional countries and variables such as temperature shocks and renewable energy deployment. This study provides timely insights for policymakers aiming to strengthen the operational resilience and predictive capacity of international carbon markets. © 2025, The Korean Society of Climate Change Research. All rights reserved.

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