全球氣候的議題逐漸受到廣泛的關注，碳排放交易作為一個減少溫室氣體排放的重要政策，透過交易碳排放配額來達到減少碳排的效果。在過去的研究中大多數都是以不同能源之間的價格作為題材，較少著墨於各個碳排放交易所價格之間的關係，因此我希望能夠找出各個碳排放交易所之間的價格是否存在因果關係。
為了找出各個交易價格之間的因果關係，我將透過 Granger (1969) 提出的因果關係檢定方法分析——美國洲際交易所期貨、歐盟碳交易現貨及美國區域溫室氣體倡議現貨三筆報酬的因果關係，除了檢定傳統的因果關係之外，我將使用Troster (2016) 所提出的分量自迴歸的方法檢驗 Granger 因果關係，此模型透過不同的條件分量檢定在不同的分量之下的兩筆資料是否存在 Granger 因果關係，結果顯示在傳統 Granger 因果檢定中，只有歐盟碳交易現貨及美國區域溫室氣體倡議現貨報酬 Granger 影響美國洲際交易所期貨；然而，透過分量自迴歸的 Granger因果檢定方法卻能在大部分的分量之下發現三筆報酬之間存在 Granger 因果關係。

The issue of global climate has gradually attracted widespread attention. Carbon emissions trading, as an important policy to reduce greenhouse gas emissions, achieves the effect of reducing carbon emissions by trading carbon emission quotas. In the past, most of the research focused on the prices of different energy sources, and less on the relationship between various carbon emission exchanges. Therefore, I aim to find out whether there is Granger-causality between various carbon emission exchanges returns.
In order to find out whether there is Granger-causality between various transaction prices, I will analyze the causality test method proposed by Granger (1969), for the causal relationship between the three returns ( US Intercontinental Exchange futures, EU carbon trading spot and US Regional Greenhouse Gas Initiative spot).In addition to testing the causa relationship of mean autoregression, I will use the quantile autoregression method proposed by Victor Troster (2016) to test the Granger-causality. This model uses different conditional quantiles to test whether there is Granger-causality between two returns of data under different quantiles. The results show that in the Granger-causality test, only EU carbon trading spot and US Regional Greenhouse Gas Initiative spot remuneration Granger affects the US Intercontinental Exchange futures; however, the Granger causality test method through component autoregression can under most of the components. It was found that there is Granger causality between the three rewards.

論文審定書 . . . . . . . . . . . i
摘要 . . . . . . . . . . . . . . . . . ii
Abstract . . . . . . . . . . . . . . iii
第一章 緒論 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
第一節 研究動機與研究目的. . . . . . . . . .. . . . 1
第二節 研究架構 . . . . . . . . . . . . . . . . . . . . . . . . 2
第二章 文獻回顧 . . . . . . . . . . . . . . . . . . . . . . . . 3
第一節 實證研究文獻回顧. . . . . . . . . . . . . . .. . . 3
第一小節 碳市場價格與其他能源的因果關係 . . . . . . . . . . . . 3
第二小節 碳市場價格間的因果關係 . . . . . . . . . . . . . . . . . . . . . 4
第三小節 現貨市場與期貨市場的關係 . . . . . . . . . . . . . . . . . . 4
第二節 計量模型文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
第一小節 分量迴歸 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
第三節 單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
第一小節 ADF 檢定 (Augmented Dickey-Fuller test) . . . . . . . . 6
第二小節 KPSS 檢定 (Kwiatkowski-Phillips-Schmidt-Shin test) . . . . . 7
第三章 理論模型 . . . . . . . . . . . . . . . . . . . . . . . . . 9
第一節 分量自迴歸模型 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
v
第二節 傳統 Granger 因果檢定. . . . . . . . . . 10
第三節 分量自迴歸的因果關係 . . . . . . . . . . . 12
第四章 實驗結果 . . . . . . . . . . . . . . . . . . . . . . . 16
第一節 資料來源與處理 . . . . . . . . . . . . . . . . . . . . . 16
第一小節 美國洲際交易所 . . . . . . . . . . . . . . . . . . . . . . 16
第二小節 歐盟碳排放交易體系. . . . . . . . . . . . . . . . . . . . 16
第三小節 美國區域溫室氣體倡議 . . . . . . . . . . . . . . 17
第二節 實證結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
第一小節 敘述統計、常態檢定與單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . 20
第二小節 傳統 Granger 因果檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
第三小節 分量自迴歸的 Granger 因果檢定 . . . . . . . . . . . . . . . . . . . . . . . . . 24
第五章 結論 . . .. . . . . . . . . .33

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