Carbon Articles
This free talk is offered by the Program for Research in Energy and Emissions Markets (PREEM) at the University of Technology, Sydney.
The talk will be presented by Stefan Trück, Department of Applied Finance and Actuarial Studies, Macquarie University, Sydney
Details are as follows:
Title: The Pass-Through Cost of Carbon in Australian Electricity Markets
Time: 11:00am – 12:00pm, Thursday 3rd May
Location: Access Grid Room 01.16.11. Room 11, Level 16, UTS Tower Building, 15 Broadway, Sydney
Registration: This is a free talk – all are welcome.
Presentation: Stefan Trück - The Pass-Through Cost of Carbon in Australian Electricity Markets (456KB)
Abstract
The aim of the Australian Carbon Tax Policy Mechanism is to encourage the reduction of greenhouse gas emissions by rewarding the production of power through green sources and penalising power produced by higher emitting sources. We investigate the impacts of the recently passed carbon tax on Australian electricity prices. Since the carbon tax only comes into effect on July 1, 2012, we consider electricity futures prices in order to investigate the pass-through costs of the tax on electricity prices. Using a regime-switching model for electricity spot prices and historical risk premiums for futures contracts we derive an additional ‘carbon premium’ from observed futures quotes. We find that after controlling for risk premiums in electricity futures markets, there is still a significant anticipated increase in prices, indicating that market participants have already included the additional costs of the carbon tax in their pricing mechanism. However, estimated pass-through costs of carbon are generally lower than what could be expected based on emission intensities for the considered regional electricity markets.
The Program for Research in Energy and Emissions Markets (PREEM) at the University of Technology, Sydney aims to develop models and quantitative tools for unified pricing and risk management platforms of energy and environmental markets. It will also work towards the development and introduction of prudential standards for Energy Markets (similar to Basel for Banking and Finance). PREEM will bring together UTS scholars from the School of Mathematical Sciences, Faculty of Science, and School of Finance and Economics, Faculty of Business to work alongside with their domestic and overseas partners.
Recent Events:
3rd May 2012 – The Pass-Through Cost of Carbon in Australian Electricity Markets (Stefan Trück)
8th April 2011 - Valuing Power Plants with Spark Spread Options
22nd March 2011 - Optimization at Work: From Market Design for Emission Trading Schemes towards Robust Risk Measures (Prof. Hans-Jakob Lüthi)
9th March 2011 – Inaugural Seminar – An Industry Prospective
Note that TTA is currently hosting PREEM web postings and email notifications on a temporary basis until University resources are set up to do this.
On the 9th of March, 2011, over 100 people from the energy industry and academia gathered to launch the Program for Research in Energy and Emissions Markets (PREEM) at University of Technology, Sydney.
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A new Program for Research in Energy and Emissions Markets has been established by the University of Technology, Sydney (UTS). This Program aims to create links between the University and the energy industry via short courses, seminars and postgraduate research. The Program runs within the University’s Quantitative Finance Research Centre (QFRC).
In order to mark the establishment of this Program, the QFRC is inviting industry participants, academics and others to its inaugural seminar ’An Energy Industry Prospective’ on Wednesday, the 9th of March. Confirmed speakers from the industry include Professor Paul Simshauser (Chief Economist & Group Head of Corporate Affairs, AGL Energy Limited), Ben Vanderwaal (Managing Director, ROAM Consulting Pty Ltd) and Dean Price (General Manager, d-cyphaTrade).
More information can be found at http://www.qfrc.uts.edu.au/energy/prospective.html
To RSVP, please contact Caroline Dobson, Ph. 9514 774
Trading Technology Australia is proud to support this Program.
Energy Minister Ian MacDonald has announced interim exemptions for emissions intensive, trade exposed (EITE) industries under the Energy savings Scheme (ESS). The Interim Exemptions Order, to be revoked on 31 December 2009, lists a number of NSW-based industries that qualify for the partial exemption of either 60% or 90% of total load. Retailers can deduct 5% of this exempted load from their overall ESS obligations.
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In Darwin yesterday, the Council of Australian Governments (COAG) signed the National Partnership Agreement on Energy Efficiency. The package aims to deliver ‘a nationally-consistent and cooperative approach to energy efficiency’ and includes:
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In Darwin yesterday, the Council of Australian Governments (COAG) signed the revised Australian Energy Market Agreement which allows carbon cost pass-through for CPRS and RET to regulated users.
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The Federal Government has posted the details of the changes to the planned Carbon Pollution Reduction Scheme (CPRS) that were announced yesterday.
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On 30th April, The Council of Australian Governments (COAG), announced an agreement ‘on the design of a Renewable Energy Target Scheme to achieve a 20 per cent share of renewables, or some 45,000 gigawatt hours, in Australia’s electricity mix by 2020.’
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In a press release issued yesterday, NextGen annouced that it has brokered a put option last week on a notional 50,000 AEUs. The buyer paid $2.20 for a strike price of $19 on the 2011/2012 vintage certificates.
