动态总量管制与交易市场中的交易摩擦
Trading Frictions in Dynamic Cap-and-Trade Markets
NBER Working Papers · 2026 · [{"name": "Nicola Borri", "affiliation": []}, {"name": "Yukun Liu", "affiliation": []}, {"name": "Aleh Tsyvinski", "affiliation": []}, {"name": "Xi Wu", "affiliation": []}]
中文摘要
我们构建了一个包含外部性和多重交易摩擦的市场动态随机模型，以总量管制与交易（cap-and-trade）为主要应用场景。缓慢参与、有限中介与异质信息在均衡中相互作用：代理人选择成本高昂的市场准入，准入决定剩余履约需求，中介约束将剩余需求转化为履约月溢价，而该溢价又反馈到准入激励中。这些相互作用决定了市场纠正外部性的有效程度。我们以闭式解刻画准入选择，证明均衡溢价唯一，并表明内生准入会削弱对单一摩擦的响应，而多重摩擦的相互作用是非可加的，可能放大价格响应。我们利用2005–2021年间270万笔欧盟排放交易体系（EU ETS）登记处交易和履约记录对模型进行量化。约40%的运营商并非每年都参与交易，购买集中在4月，此时收益率系统性偏高，且运营商资金流可预测未来回报。
Abstract
We develop a dynamic stochastic model of markets with an externality and multiple trading frictions, and cap-and-trade as the leading application. Slow participation, limited intermediation, and heterogeneous information interact in equilibrium: agents choose costly market access, access determines residual compliance demand, intermediary constraints translate residual demand into a surrender-month premium, and the premium feeds back into access incentives. These interactions shape how effectively the market corrects the externality. We characterize access choices in closed form, prove that the equilibrium premium is unique, and show that endogenous access dampens the response to each friction in isolation, while the interaction of multiple frictions is non-additive and can amplify the price response. We quantify the model using 2.7 million EU ETS registry transactions and compliance records from 2005–2021. About 40% of operators do not trade annually, purchases concentrate in April when returns are systematically high, and operator flow predicts future returns.