本論文由兩篇研究組成，旨在透過碳衍生性商品所隱含的前瞻性資訊，深入探討氣候政策風險如何傳遞至實體經濟決策與金融資產定價。由於碳市場本質上屬於高度「政策導向」的市場，政策的時程安排（Time Horizon）與不確定性（Uncertainty）構成了市場波動的主要來源。因此，本論文分別透過歐盟碳排放配額（EUA）的期貨與選擇權市場，解析隱含於價格中的政策訊號及其經濟意涵。

第一篇論文首先關注政策的「時間維度」，探討不同期間的碳政策如何影響化石燃料的使用路徑。理論模型揭示了一項關鍵機制：短期政策的緊縮提高了當前的碳成本，進而減緩開採活動；反之，長期政策的緊縮雖未改變當前成本，卻透過預期心理改變跨期替代誘因，促使廠商加速當前的開採。為驗證此機制，本文採用聯合仿射期間結構模型（joint affine term-structure model），從 EUA 期貨曲線中分離出水準（level）與斜率（slope）因子，藉以捕捉市場對短期與長期政策訊號的前瞻性看法。實證結果顯示，一單位標準差的短期政策緊縮，會使歐洲石油供給與需求在三個月內減少 0.3\% 至 0.4\%；相對地，同等幅度的長期政策緊縮，則導致該兩項序列在大約六個月的視界下增加約 0.9\%，證實了碳政策對實體經濟的影響取決於政策的時間視界。

然而，除政策時程外，碳政策頻繁的變動亦帶來巨大的尾端風險。因此，第二篇論文進一步探討政策的「風險維度」，建立一個一般均衡模型，分析投資人如何在碳市場中對高階風險（higher-moment risks）進行定價。考量到歐盟碳市場波動性與政策敏感度的提升，模型在遞迴效用架構下將隨機波動（stochastic volatility）與隨時間變動的跳躍強度（time-varying jump intensity）納入碳價動態中。理論分析顯示，由選擇權價格所隱含的碳價變異、偏度與峰度，皆為風險貼水中可被定價的要素，並已內嵌於隨機折現因子之中。透過對股權風險溢酬的解析性分解，本研究揭示了碳變異與偏度風險貼水是政策不確定性影響資產價格的主要傳導管道。

綜上所述，本論文證實了碳衍生性商品不僅是避險工具，更是解讀氣候政策風險的關鍵訊息來源，為理解政策如何驅動實體經濟調整與資產價格形成提供了完整的理論與實證基礎。

This dissertation comprises two essays that exploit the forward-looking information embedded in carbon derivatives—including European Union Allowance (EUA) futures and options—to examine how climate policy risks are transmitted to real economic decisions and asset pricing. Since the carbon market is inherently a policy-driven market, the time horizon and uncertainty of policy interventions constitute the primary sources of market fluctuations. Accordingly, this dissertation decodes the policy signals and economic implications implied in prices through the EUA futures and options markets, respectively.

The first essay focuses on the "time dimension" of climate policy, investigating how carbon policies with different horizons affect fossil-fuel use. The theoretical model reveals a key mechanism: tightening near-term policies raises current carbon costs and slows extraction; conversely, tightening long-term policies, while leaving current costs unchanged, alters intertemporal substitution incentives and encourages firms to accelerate current extraction. To validate this mechanism, I employ a joint affine term-structure model to recover level and slope factors from the EUA futures curve, capturing market expectations regarding short- and long-horizon policy signals. Empirical results show that a one-standard-deviation short-horizon tightening reduces European oil supply and demand by 0.3\% to 0.4\% within three months. In contrast, an equally sized long-horizon tightening increases both series by approximately 0.9\% around the six-month horizon, confirming that the real-side impact of carbon policy depends critically on its time horizon.

However, beyond the policy horizon, frequent regulatory changes also introduce significant tail risks. Therefore, the second essay further explores the "risk dimension" of climate policy by developing a general equilibrium framework to examine how investors price higher-moment risks in the carbon market. Motivated by the increasing volatility and policy sensitivity of the EU ETS, the model incorporates stochastic volatility and time-varying jump intensity into carbon price dynamics under a recursive utility setting. Theoretical analysis demonstrates that the variance, skewness, and kurtosis implied by option prices are priced risk components embedded in the stochastic discount factor. By analytically decomposing the equity premium, this study reveals that carbon variance and skewness risk premia represent key channels through which policy-induced uncertainty affects asset prices.

In conclusion, this dissertation demonstrates that carbon derivatives serve not only as hedging instruments but also as vital sources of information for interpreting climate policy risks, providing a unified theoretical and empirical foundation for understanding how policy drives real economic adjustments and asset price formation.

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