Carbon cost pass-through rate in power system: evidence from Italy under the EU ETS
电力系统中碳成本传导率:来自欧盟排放交易体系下意大利的证据
Pierdomenico Duttilo, Francesco Lisi
AI总结 研究欧盟排放交易体系下碳成本在意大利电力市场的传导率,基于2016-2024年数据,采用自回归线性回归模型,发现全国平均传导率约32%,且各市场区域存在显著异质性。
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本文研究了欧盟排放交易体系(EU ETS)下碳定价对意大利电力市场的影响,重点关注第三和第四阶段(2016-2024年)各市场区域的碳成本传导率(CPTR)。利用日度数据,研究采用基于自回归动态线性回归模型的计量经济学框架,估计碳成本在批发电力价格中的反映程度。进一步通过稳健性检验和分位数回归,评估CPTR在不同燃料价差水平下的变化。结果表明,碳成本正向且显著地传导至电力价格,证实了碳定价作为关键市场驱动因素的相关性。然而,传导不完全,CPTR值始终低于100%。在国家层面,传导率估计约为32%,第三阶段和第四阶段之间无统计显著变化。各市场区域出现显著异质性:在北部、中北部和撒丁岛,第四阶段传导率上升,而在中南部和西西里岛则下降,反映了发电结构、碳强度和市场条件的差异。总体而言,研究结果强调了市场区域因素在塑造电力市场碳定价有效性中的重要性。
This paper investigates the impact of carbon pricing under the EU Emissions Trading System (EU ETS) on the Italian electricity market, focusing on the carbon cost pass-through rate (CPTR) across market zones during Phases 3 and 4 (2016-2024). Using daily data, the study applies an econometric framework based on a linear regression model with autoregressive dynamics to estimate the extent to which carbon costs are reflected in wholesale electricity prices. It further incorporates robustness checks and quantile regression to assess how the CPTR varies across different fuel spread levels. The results show that carbon costs are positively and significantly transmitted to electricity prices, confirming the relevance of carbon pricing as a key market driver. However, pass-through is incomplete, with CPTR values consistently below 100%. At the national level, the pass-through estimate is around 32%, with no statistically significant change between Phase 3 and Phase 4. Substantial heterogeneity emerges across market zones: pass-through increases in the North, Centre-North, and Sardinia during Phase 4, while it declines in the Centre-South and Sicily, reflecting differences in generation mix, carbon intensity, and market conditions. Overall, the findings highlight the importance of market zones factors in shaping the effectiveness of carbon pricing in electricity markets.