《The Energy Journal》Volume 45 Issue 4——文献导读

文摘其他 2024-11-14 08:15 中国香港

——目录——

1. 深入挖掘：非线性、非参数天然气价格和波动预测

Dusan Bajatovic, Deniz Erdemlioglu, Nikola Gradojevic

2. 综合能源系统的海上市场设计：北海2050目标的案例研究

Juan Gea-Bermúdez, Lena Kitzing, Dogan Keles

3. 化石燃料补贴清单与净碳价

Jens Böhm, Sonja Peterson

4. 交通基础设施对制造业能源强度的影响：来自中国高速铁路的微观证据

Mian Yang, En-Ze Wang

5. 基于MIDAS模型重新审视亚洲经济体油价与经济活动之间的关系

Hyunjoo Kim Karlsson, Kristofer Månsson

6. 新兴国家的激励机制分化

Hector H. Sandoval, Pedro I. Hancevic

7. 收入和资本是否影响家庭太阳能电池板投资？来自元回归的证据

Rohan Best, Mauricio Marrone, Martina Linnenluecke

8. 利用电池进行每日间歇性和连续性套利交易

Shujin Hou, Derek Bunn

9. 电价与通货膨胀：实时定价的宏观经济影响

Antonio J. Garzon, Luis A. Hierro

10. 中国碳排放交易政策如何影响高碳企业融资？

Yue-Jun Zhang, Wei Wang

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1. 深入挖掘：非线性、非参数天然气价格和波动预测

Dusan Bajatovic, Deniz Erdemlioglu, Nikola Gradojevic

本文分析了一系列日前天然气价格和波动性（包括亨利枢纽和物权转移设施TTF）预测模型的准确性和可解释性。研究结果表明，相相较于其他竞争模型，具有深层结构的非线性、非参数模型预测更具有优势。通过应用可解释人工智能（XAI）方法，我们发现天然气价格是基于原油和电力价格策略性地形成的。天然气收益的条件波动性受长记忆动态和原油波动性的驱动，而电力预测因子的有效性在最近的波动时期有所提高。尽管我们揭示了预测的非线性关系本质上是复杂且随时间变化的，但总体结果仍支持天然气、原油和电力之间的相关性。最后，聚焦于市场经历重大结构性断裂和极端波动的时期（如COVID-19疫情和俄乌冲突），我们表明深度学习模型提供了更好的适应性，并显著提高了预测准确性。

This paper studies the forecast accuracy and explainability of a battery of dayahead (Henry Hub and Title Transfer Facility (TTF)) natural gas price and volatility models. The results demonstrate the dominance of non-linear, non-parametric models with deep structure relative to various competing model specifications. By employing the explainable artificial intelligence (XAI) approach, we document that the price of natural gas is formed strategically based on crude oil and electricity prices. While the conditional volatility of natural gas returns is driven by long-memory dynamics and crude oil volatility, the informativeness of the electricity predictor has improved over the most recent volatile time period. Although we reveal that predictive non-linear relationships are inherently complex and time-varying, our findings in general support the notion that natural gas, crude oil and electricity are interconnected. Focusing on the periods when markets experienced sharp structural breaks and extreme volatility (e.g., the COVID-19 pandemic and the Russia-Ukraine conflict), we show that deep learning models provide better adaptability and lead to significantly more accurate forecast performance.

原文：Bajatovic, D., Erdemlioglu, D., & Gradojevic, N. (2024). Drilling Deeper: Non-Linear, Non-Parametric Natural Gas Price and Volatility Forecasting. The Energy Journal, 45(4), 1-25. https://doi.org/10.1177/01956574241277302

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2. 综合能源系统的海上市场设计：北海2050目标的案例研究

Juan Gea-Bermúdez, Lena Kitzing, Dogan Keles

海上电网通过多个相互作用的传输和发电单元连接多个国家的海岸，预计将在成本效益的能源转型中发挥重要作用。随着庞大的新基础设施扩展到新的物理空间，亟需全新的海上能源市场设计。当前的设计决策将对未来海上电网的整体价值潜力产生深远的影响。本文探讨了不同市场配置的可能性及其对运营成本、拥堵管理需求、价格和排放的影响。我们采用了一个应用于北海地区至2050年案例研究的先进综合能源优化系统。我们的分析证实了节点定价概念是最优的市场配置。与其他市场设计相比，节点定价能最大程度降低成本（每年减少0.2–1.6亿欧元）和二氧化碳排放（每年减少0.6–5.6百万吨）。不同市场设计的表现高度依赖于海上电网整体架构及其余能源系统。例如，灵活性选项有助于减少设计之间的差距。但结果稳健地表明，节点定价在海上电网中是实现成本效益的碳中和能源转型的首选市场配置。

Offshore grids, with multiple interacting transmission and generation units connecting to the shores of several countries, are expected to have an important role in the cost-effective energy transition. Such massive new infrastructure expanding into a new physical space will require new offshore energy market designs. Decisions on these designs today will influence the overall value potential of offshore grids in the future. This paper investigates different possible market configurations and their impacts on operational costs and required congestion management, as well as prices and emissions. We use advanced integrated energy system optimisation, applied to a study case on the North Sea region towards 2050. Our analysis confirms the well-known concept of nodal pricing as the most preferable market configuration. Nodal pricing minimises costs (0.2–1.6 b€/year lower) and CO2 emissions (0.6–5.6 Mton/year lower) with respect to alternative market designs investigated. The performance of the different market designs is highly influenced by the overall architecture of the offshore grid, and the rest of the energy system. E.g., flexibility options help reducing the spread between the designs. But the results are robust: nodal pricing in offshore grids emerges as the preferable market configuration for a cost-effective energy transition to carbon neutrality.

原文：Gea-Bermúdez, J., Kitzing, L., & Keles, D. (2024). Offshore Market Design in Integrated Energy systems: A Case Study on the North Sea Region towards 2050. The Energy Journal, 45(4), 27-58. https://doi.org/10.1177/01956574241277303

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3. 化石燃料补贴清单与净碳价‍

Jens Böhm, Sonja Peterson

减少化石燃料碳排放的价格激励是保证气候政策有效和效率的重要机制。目前的激励措施主要来自能源税和碳定价（鼓励减少排放），以及对化石燃料的多种支持措施（鼓励更多排放）。我们开发了一个净碳价指标，以补充现有的补贴和碳定价指标。该指标可以在不同的聚类层次上计算，并在各国之间进行比较。我们计算了2018年包括全球六大排放国在内的八个国家的分类和综合指标。我们的分析显示，国家以及行业之间的净碳价差异显著。行业差异的结果可以为制定适当的国家政策改革提供参考信息，而国家综合指标对于国际谈判中协调各国努力具有重要指导意义。

Price incentives for reducing fossil fuel related carbon emissions are an important component of effective and efficient climate policy. Current incentives stem from a mixture of energy taxes and carbon pricing (incentivizing less emissions) and diverse support measures for fossil fuels (incentivizing more emissions). We develop a net carbon price indicator that complements existing subsidy and carbon pricing indicators. It can be calculated on different aggregation levels and compared across countries. We calculate the different components and our aggregate indicator for the year 2018 and for eight countries including the worlds’ six largest emitters. Our analysis reveals large differences in net carbon prices across countries and across sectors within countries. We argue that the sectoral differences can inform about adequate national policy reforms while the aggregate national indicator can be useful for international negotiations about comparable national efforts.

原文：Böhm, J., & Peterson, S. (2024). Fossil Fuel Subsidy Inventories vs. Net Carbon Prices. The Energy Journal, 45(4), 59-79. https://doi.org/10.1177/01956574241277304

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4. 交通基础设施对制造业能源强度的影响：来自中国高速铁路的微观证据

Mian Yang, En-Ze Wang

本文探讨了高铁运营这一基础设施改善对企业能源效率提升潜力的影响。将中国各地区的高铁开通视为外生冲击，我们利用双重差分模型分析基础设施改善对制造企业能源强度的因果影响。我们发现，高铁开通通过促进先进管理技术的传播提高了制造业企业的能源强度，且这种影响随着企业与高铁站距离的增加而逐渐减弱。此外，高铁开通还通过促进技术创新、降低债务融资成本和扩大债务融资规模间接降低能源强度。我们的异质性分析进一步发现这种影响在小城市和高集中度、低集聚度的行业中更为显著。此外，相较于非国有和小型企业，高铁开通对降低能源强度的影响在国有和大型企业中更加显著。

This paper examines the potential of infrastructure improvements, particularly the operation of High-speed railway (HSR), to enhance the energy efficiency of firms. By regarding the operation of the China’s HSR as an exogenous shock, this paper relies on a difference-in-differences estimation to isolate the causal effect of the infrastructure improvement on manufacturing firms’ energy intensity. This paper finds that the operation of HSR has improved the manufacturing firms’ energy intensity through the catalyzing the proliferation of advanced management techniques, and this effect gradually decreases with the increase in distance between the firm and the HSR station. Moreover, HSR indirectly decreases energy intensity by fostering technological innovation, decreasing debt financing costs, and extending debt financing magnitude. The study also uncovers heterogeneous effects of HSR connectivity on manufacturing firms’ energy intensity, which are more pronounced in smaller cities and industries characterized by high concentration and low agglomeration. Furthermore, the impact of HSR connectivity on reducing energy intensity is more substantial in state-owned and larger firms compared to non-state-owned and smaller firms.

原文：Yang, M., & Wang, E.-Z. (2024). The Impact of Transportation Infrastructure on Manufacturing Energy Intensity: Micro Evidence from High-Speed Railway in China. The Energy Journal, 45(4), 81-107. https://doi.org/10.1177/01956574241281144

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5. 基于MIDAS模型重新审视亚洲经济体油价与经济活动之间的关系

Hyunjoo Kim Karlsson, Kristofer Månsson

本文重新审视了石油价格与五个亚洲经济体经济活动之间的因果关系。我们使用非限制性MIDAS（U-MIDAS）模型分析1998年第一季度至2019年第四季度的月度实际油价数据和季度实际GDP数据。我们还通过小波分析研究石油价格和经济活动之间的因果关系，以探讨变量关系在不同时间尺度上的变化。MIDAS模型的关键实证结果显示，油价对经济活动存在显著的因果关系，这一关系在标准VAR方法下未得到揭示。此外，脉冲响应函数的结果表明，这五个亚洲经济体的经济活动在较短时间内（少于两年）对油价冲击的反应总体上是正向的，而在较长时间内（两到四年）则转为负向。总体而言，我们的数据支持油价波动与石油进口国经济活动之间理论预期的负向因果关系在长期内占据主导地位。中国是一个例外，其石油市场和生产结构与研究中的其他亚洲经济体存在显著差异。

The objective of this paper is to re-examine the causal relationship between oil prices and economic activity for five Asian economies. We apply the unrestricted MIDAS (U-MIDAS) model using monthly data for real oil prices and quarterly data for real GDP for the period from 1998Q1 to 2019Q4. The causal nexus between oil prices and economic activity is also studied by means of wavelet analysis to investigate whether the relationship between the variables changes over different time scales. The key empirical results under the MIDAS approach show that there is a clear significant causal link from oil prices to economic activity, which is not as clearly found under the standard VAR approach. In addition, our results using impulse response functions suggest that the five Asian economies respond, in general, positively in economic activity to an oil price shock at shorter time horizons (less than two years), while the positive responses switch to mostly negative ones at longer time horizons (from two to four years). Our results, in general, support that the (theoretically) expected negative causal nexus between oil price fluctuations and economic activity for oil importers is dominant over longer time horizons for our dataset. An exception to this pattern is China, which has a dissimilar country profile in terms of its oil market and production structure from the profiles of the other Asian economies in the study.

原文：Karlsson, H. K., & Månsson, K. (2024). Revisiting the Nexus Between Oil Prices and Economic Activity for Asian Economies Using MIDAS. The Energy Journal, 45(4), 109-134. https://doi.org/10.1177/01956574241281160

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6. 新兴国家的激励机制分化

Hector H. Sandoval, Pedro I. Hancevic

在本文中，我们提供了关于房主和租户之间能源效率的实证分析，并通过研究墨西哥家庭来量化新兴经济体中激励分割问题的严重程度。利用首次全国私人住宅能源消费调查 (ENCEVI-2018) 的微观数据和一个回归框架，我们揭示了多个类别的住宅能源效率存在投资不足的问题。具体而言，我们的研究结果表明：租户的隔热材料和节能设备明显较少，他们往往更频繁地使用某些设备，因而他们支付的水电费高于房主。此外，租户对可以减少能源支出的政府计划了解较少，也不太可能利用这些计划。最后，如果租户的能源效率与房主一样高，则可以大幅减少碳排放。

In this paper, we provide empirical evidence of the energy-efficiency gap between homeowners and renters and quantify the magnitude of the split incentives problem in an emerging economy by studying Mexican households. Using micro-level data from the first National Survey on Energy Consumption in Private Homes (ENCEVI-2018) and a regression framework, we show that underinvestment problems occur in multiple categories of residential energy efficiency. Concretely, our results show that renters have significantly less insulation and energy-efficient equipment, that they tend to use some of their equipment more frequently, and that they pay higher utility bills than homeowners. In addition, renters are less aware of government programs that can reduce their energy expenditure and are also less likely to take advantage of them. Finally, a substantial reduction in carbon emissions could be achieved if renters were equally energy efficient as homeowners.

原文：Sandoval, H. H., & Hancevic, P. I. (2024). Split Incentives in Emerging Countries. The Energy Journal, 45(4), 135-158. https://doi.org/10.1177/01956574241281107

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7. 收入和资本是否影响家庭太阳能电池板投资？来自元回归的证据

Rohan Best, Mauricio Marrone, Martina Linnenluecke

家庭太阳能电池板投资的研究存在较大差异，这导致关于收入和资本影响的证据不一。我们提出了一种分析方法，以帮助解释其他研究中经济因素对太阳能电池板采用的影响。通过对234篇论文进行元回归分析，我们专注于经济因素对太阳能投资的影响。我们的研究发现，研究方法和背景解释了收入影响的差异。具体而言，使用家庭层面数据的研究较少发现负面收入影响，而使用聚合数据的研究则更可能揭示此类影响。发展中国家的研究往往较少考虑收入因素；然而，当收入被纳入分析时，发展中国家的研究更可能发现收入与太阳能电池板采用之间的显著关联。资本（例如资产）的影响几乎总是为正且显著，但仅有22%的研究分析包含了相关变量。我们的政策讨论建议在手段测试中更加重视资产因素。

There is considerable variation in research explaining household solar-panel investment, leading to mixed evidence regarding influences of income and capital. We provide analysis aiding interpretation of economic influences on solar-panel uptake in other studies. We conduct a meta-regression using 234 papers to provide analytical insights focusing on economic influences on solar-panel investment. We find that the research approach and context explain a range of income influences. More specifically, studies using household-level data are less likely to find negative income impacts compared to studies using aggregate data. Developing-country studies have been less likely to include income; but when income is included, developing-country studies have been more likely to find a significant link from income to solar-panel uptake. Capital (e.g., asset) impacts are nearly always positive and significant when included, but only 22 percent of analyzed studies included a relevant variable. Our concluding policy discussion suggests greater focus on assets for means testing.

原文：Best, R., Marrone, M., & Linnenluecke, M. (2024). Do Income and Capital Influence Household Solar Panel Investment? A Meta-regression. The Energy Journal, 45(4), 159-177. https://doi.org/10.1177/01956574241284501

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8. 利用电池进行每日间歇性和连续性套利交易

Shujin Hou, Derek Bunn

电池储能系统的商业模型往往在很大程度上依赖于每日电力批发市场的套利收入。尽管其他收入来源可能具有吸引力，但批发市场套利通常被用作基准。针对批发市场套利，存在多种交易策略，本文比较了三种主要的变体：提前一天的价差交易、带前瞻性的提前一天交易，以及带前瞻性的日内持续交易。以英国电力市场为例，本文利用风能和太阳能发电数据以及需求预测进行电价预测。回测结果表明，提前一天的价差交易在风险和收益表现方面相对更具吸引力。

The business models for the operation of battery storage systems often depend substantially upon the revenues from arbitrage in the daily electricity wholesale market. Other revenue streams can be attractive, but even with them, wholesale market arbitrage is often used as the benchmark. There can be various trading policies for wholesale market arbitrage and this paper provides a comparison of three main variations. These are: day-ahead spread trading, day-ahead trading with look-ahead and intra-day continuously trading with look-ahead. The example is from the GB electricity market in which wind and solar generation as well as demand forecasts are used to forecast electricity prices. The results of the back-testing indicate the comparative attractiveness of day-ahead spread trading in terms of risk and return performance.

原文：Hou, S., & Bunn, D. (2024). Daily Episodic and Continuous Arbitrage Trading With Electric Batteries. The Energy Journal, 45(4), 179-194. https://doi.org/10.1177/01956574241281143

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9. 电价与通货膨胀：实时定价的宏观经济影响

Antonio J. Garzon, Luis A. Hierro

电力价格可以成为通货膨胀的重要驱动因素。然而，从批发电力价格到通货膨胀的传导机制取决于零售市场的定价机制。本文利用西班牙零售电力市场引入实时定价（RTP）的契机，分析批发电力价格冲击对通货膨胀动态的传导，以及RTP的引入如何影响这种传导。研究主要发现：在RTP推出后，电力价格冲击对通货膨胀的传导速度显著加快，其最大影响约是之前时期的三倍。这种更高的传导不仅源于零售电力价格的反应更加明显，还因为这些冲击对核心通货膨胀的传导程度更大。这些结果表明，引入RTP会影响通货膨胀动态，从而影响中央银行对这类冲击的反应方式。

Electricity prices can be an important driver of inflation. However, the transmission from wholesale electricity price to inflation depends on the type of pricing mechanism in the retail market. Using the introduction of Real-Time Pricing (RTP) in the Spanish retail electricity market, we analyze the transmission of wholesale electricity price shocks to inflation dynamics and how this transmission is affected by the introduction of RTP. The main findings are that—after RTP was rolled out—electricity price shocks display a swifter transmission to inflation while the maximum impact is around three times higher than in the previous period. This higher transmission is not only generated by a more pronounced reaction of the retail electricity price but is also caused by a greater transmission of these shocks to core inflation. These results imply that introducing RTP impacts inflation dynamics and, therefore, affects how central banks should react to this type of shock.

原文：Garzon, A. J., & Hierro, L. A. (2024). Electricity Price and Inflation: Macroeconomic Implications of Real-Time Pricing. The Energy Journal, 45(4), 195-222. https://doi.org/10.1177/01956574241284429

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10. 中国碳排放交易政策如何影响高碳企业融资？

Yue-Jun Zhang, Wei Wang

在政策制定者旨在实现稳增长与降低碳排放平衡的背景下，评估碳排放交易（CET）政策对高碳企业运营和发展的影响具有重要的现实意义。基于A股上市企业的面板数据，本文综合运用了双重差分方法（DID）和基于倾向得分匹配的双重差分（PSM-DID）方法，探讨了中国CET政策对高碳企业融资约束和融资能力的影响。研究结果表明：首先，2012至2019年间，随着CET政策的实施，中国高碳企业的融资约束水平显著增加。其次，融资的影响在不同行业、碳市场以及企业特征上表现出显著的异质性。最后，CET政策在样本期间内使高碳企业的长期债务融资能力降低了22.26%，但对短期债务融资能力没有显著的影响。

Evaluating the impact of carbon emissions trading (CET) policy on the operations and development of high-carbon enterprises is of great practical importance in a context where policy-makers aim to balance steady growth and reduce carbon emissions. Based on the panel data of A-share listed enterprises, this paper comprehensively employs the difference-in-differences (DID) and the difference-in-differences based propensity score matching (PSM-DID) methods to investigate the impact of China’s CET policy on the financing constraints and financing ability of high-carbon enterprises. The results indicate that: first, the level of financing constraints of high-carbon enterprises in China has significantly increased with the implementation of the CET policy from 2012 to 2019. Second, the impact shows significant heterogeneity in various industries, carbon markets, and the characteristics of enterprises. Third, the CET policy reduces the long-term debt financing ability of high-carbon enterprises by 22.26 percent during the sample period, but it has no significant impact on short-term debt financing ability.

原文：Zhang, Y.-J., & Wang, W. (2024). How Does China’s Carbon Emissions Trading Policy Affect the Financing of High-Carbon Enterprises? The Energy Journal, 45(4), 223-245. https://doi.org/10.1177/01956574241281564

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本期内容：林安岚&唐瑶，香港城市大学博士生

本期主编：李强，香港城市大学博士生