The urgent need to achieve the COP-27 targets has become evident due to the more frequent and severe climate-induced disasters and their socioeconomic consequences. The adverse effects of climate change highlight the need for an immediate shift away from fossil fuels without compromising economic development. Internalization of the negative externality in market transactions through the imposition of carbon pricing is widely touted as the most economically efficient means of solving this problem. This study, however, argues that crude oil price volatility could be an unintended consequence of carbon pricing. To this end, information flows between the European Union Emissions Trading Scheme and crude oil price volatility are examined through transfer entropy and wavelet-partial wavelet coherence analyses. Daily data from January 1, 2014 to July 1, 2023 are analyzed. The transfer entropy results show that information on carbon pricing reduces uncertainty about crude oil price volatility and vice versa, indicating that carbon pricing would be quite informative in building models to predict crude oil price volatility. The wavelet-partial coherence analyses reveal that the surge in carbon prices experienced in the late 2010s induced crude oil volatility, whereas the crude oil price volatility triggered by the COVID-19 pandemic forced carbon prices down. This study therefore identifies carbon price movements as a legitimate fear for policymakers, as it is a new source of volatility in conventional energy markets. Caution should thus be the watchword regarding optimal carbon pricing. Aiming to rapidly attain the full optimal carbon price is not recommended. Rapid changes in carbon prices will have strong redistributive implications across economies.

中文翻译：

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原油价格波动——碳定价的意外后果：来自转移熵和小波-偏小波相干分析的证据

由于气候引发的灾害及其社会经济后果更加频繁和严重，实现 COP-27 目标的迫切需要变得显而易见。气候变化的不利影响凸显了在不影响经济发展的情况下立即放弃化石燃料的必要性。通过实施碳定价将市场交易中的负外部性内部化被广泛认为是解决这一问题的最经济有效的手段。然而，这项研究认为，原油价格波动可能是碳定价的意外后果。为此，通过传递熵和小波-部分小波相干分析来检查欧盟排放交易计划和原油价格波动之间的信息流。分析2014年1月1日至2023年7月1日的每日数据。转移熵结果表明，碳定价信息减少了原油价格波动的不确定性，反之亦然，这表明碳定价在构建预测原油价格波动的模型中提供了相当丰富的信息。小波偏相干性分析表明，2010年代末经历的碳价格飙升引发了原油波动，而COVID-19大流行引发的原油价格波动则迫使碳价格下跌。因此，这项研究将碳价格变动视为政策制定者合理的担忧，因为它是传统能源市场波动的新来源。因此，关于最优碳定价的口号应该是谨慎。不建议以快速达到完全最优碳价为目标。碳价格的快速变化将对各个经济体产生强烈的再分配影响。