Data for: Market efficiency and the U.S. market for sulfur dioxide allowances

Abstract of associated article: Focusing on the U.S. sulfur dioxide (SO2) allowance market from its inception in 1994 to 2009, we model allowance prices to determine the influence of market fundamentals on allowance price level and volatility. We find evidence that the SO2 market operates in ways that are not inconsistent with an efficient market – prices that reflect marginal abatement costs – after the first few years of the program but before a court decision that introduced significant uncertainty into the market in mid-2008. Our empirical analysis finds that the SO2 market, similar to other emission markets studied in the literature, can remain relatively inefficient for several years after launch. We also find that market volatility increases in response to all types of communications from the administrator, suggesting that the development of a formal communication strategy, possibly similar to that used by central banks, would reduce price volatility and increase the efficiency of the market.

相关论文摘要：本研究聚焦1994年创立至2009年的美国二氧化硫（SO2）配额市场，通过构建配额价格模型，旨在探究市场基本面对配额价格水平与波动率的影响。研究发现，在该配额计划实施最初数年之后、2008年中期一项引发市场重大不确定性的法院判决作出前，美国二氧化硫配额市场的运行方式符合有效市场（efficient market）的特征——其价格能够反映边际减排成本（marginal abatement costs）。我们的实证分析显示，与文献中研究的其他排放权市场类似，该市场在启动后的数年内仍可能处于相对低效的状态。此外我们还发现，市场波动率会随管理方发布的各类沟通信息出现上升，这表明制定一套类似中央银行所采用的正式沟通策略，将有助于降低价格波动、提升市场运行效率。