摘要：The market of emission credits and other pollution-related commodities are currently viewed as important instrument in the reduction of environmentally hazardous emissions. European trading in emission credits followed promulgation of the Kyoto treaty by all major EU nations after 1997 and started in earnest in the early 2000s. While the experience with emission credits is widely discussed in its economic, legal and policy implications, pricing of regulation-based commodities remains obscure. Yet, the success of market-based regulations critically depends on the efficiency of prices. This paper proposes a quantitative model that can account for the empirical behavior of EU emission credits in the period of 2005-2007. The paper uses additional information from the December 2008 options prices to formulate the hypothesis that free distribution of permits distorted the behavior of prices on the lower but not on the upper boundary of the price range.
关键词：ETS; asset pricing models; emission credits; EU permits
