A dinâmica dos instrumentos de precificação de carbono: uma análise para o mercado cap-and-trade

Abstract

There is an increasing momentum for advances in climate policies that encourage carbon pricing mechanisms that provide significant emission reductions of CO2. Given the inexistence of a Brazilian carbon market, the present work aims to identify the dynamics of carbon pricing instruments (cap-and-trade market) in progress, and to study the possible framing of pricing models in Law 13.576 / 17 (RenovaBio). For this purpose, the dynamics of CO2 emission allowances for the main foreign Emissions Trading Schemes is modeled based on three variants of the model classes with autoregressive conditional heteroscedasticity, namely, the GARCH, EGARCH and TARCH models. The results indicate that prices show dynamic behavior, asymmetric effects and persistence. Then, a model of price transmission from the future market to the textit spot is estimated through the minimum variance text hedge ratio, the results corroborate the idea of the importance of forming market instruments that assist in risk management, and monitoring emission costs of CO2 in companies production processes.