전략적 자산배분 자산군 투자 허용범위에 관한 연구

이재현 한국금융정보학회 2023 금융정보연구 Vol.12 No.1

A large number of pension funds set the allowable range of investment by asset classes after establishing strategic asset allocation. However, there are not many theoretical backgrounds and related academic research. This study presents a theoretical and practical methodology on the allowable range according to the active policy of tactical asset allocation. Even in the case of the passive tactical asset allocation, we can consider the confidence interval of the change in weight due to the change in value and standard error of estimators. In this case, we need rebalancing to return to strategic asset allocation if it deviates from the allowable range. We find a level of significance that makes the expected transaction cost and the expected alpha equal. In the case of active tactical asset allocation policies, the allowable range is driven by the risk budget policy. At this time, in general, we use tracking error, which is an active risk limit. Also, we can consider to use relative shortfall constraint, which is an alpha shortfall constraint. In the relative shortfall approach, asymmetric upper and lower bounds are derived even though there is no active activity in stock selection. This is because the relative shortfall approach determines the allowable range in the direction of improving efficiency in terms of the information ratio, which is the ratio of expected alpha and tracking error. This study drives a theoretical band of asset classes under two asset classes assumption, afterward, proposes a practical plan to derive the allowable range extending three or more asset classes. This study analyzes the case where active activities are included in asset classes such as stock selection. This helps to manage the overall active policy which integrates tactical asset allocation and stock selection. 많은 수의 연기금에서 전략적 자산배분을 설정한 후 자산군의 투자 허용범위를 산출하고 있다. 그러나 이와 관련된 이론적 근거 및 관련 학술연구는 많이 진행되고 있지 못하다. 본 연구는 전술적 자산배분의 액티브 정책에 따라 이론적, 실무적 허용범위 산출 방법론을 제시하였다. 전략적 자산배분 비중을 추종하는 패시브 전술적 자산배분의 경우에도 자산군의 가치변화에 따른 비중 변화, 모수 추정오차 등으로 인한 밴드 형태의 신뢰구간이 존재할 수 있다. 이때 허용범위를 벗어나게 되면 전략적 자산배분으로 복귀하는 리밸런싱이 이루어져야 한다. 이 과정에서 본 연구는 기대거래비용과 기대알파가 일치하는 수준의 적정 신뢰수준을 산출하였다. 알파를 추구하는 액티브 전술적 자산배분 정책의 경우 위험예산 기법에 의해 허용범위가 산출된다. 이때 액티브 위험한도인 추적오차를 사용하는 방안과 알파의 shortfall 제약인 Relative shortfall 제약을 사용하는 방안이 있다. 이중 Relative shortfall 제약은 정보비율 관점에서 효율성을 개선하는 방향으로 허용범위를 결정하기 때문에 비대칭적인 상하한의 폭이 설정된다. 본 연구는 이론적 허용범위 도출을 위해 2개의 자산군을 가정하고 실무적으로 확장할 수 있도록 3개이상의 자산군에서 허용범위를 도출하는 실무적 방안을 제시하였다. 그리고 본 연구에서는 종목 선택 등의 자산군 내에서 액티브 행위를 포함하는 경우에 허용범위의 변화에 대해서도 분석되었다. 이를 활용하면 전체 액티브 운용 정책하에서 전술적 자산배분의 허용범위와 종목선택 등의 액티브 행위를 통합하여 관리할 수 있다.

배출권거래제도 - 형평성을 중심으로 -

윤효영 한국경영법률학회 2013 經營法律 Vol.24 No.1

Emission Trading Scheme(ETS) is policy tools designed to cut greenhouse gas emissions where this can be done in the most cost effective way. Existing and Proposed schemes generally take the form of cap-and-trade systems, meaning that there is a political commitment to limit overall emissions by putting in place a cap, and that the emission allowances are distributed as permits between covered entities in the scheme, permits that can be traded freely. And it has become common practice to allocate the majority or all of the emission allowances to firms free of charge. Effectiveness and Fairness are distinguishable aspects of policy evaluation. Although overall program effectiveness is an important issue, this article focuses on the fairness issues. I will discuss several aspects of distributional fairness related to ETS. It consists of fairness in the distribution of emissions allowances to businesses, fairness in the distribution of greenhouse gas and other co-pollutant emissions among different segments of society, and fairness in the relative financial impact on low-income consumers. The unfair effects of ETS are usually resulted from the free allocation of emission allowances. So, the main alternative to free allocation is auctioning. First, it would reduce the distributional distortions and accompanying windfall profits that free allocation can create. Second, it creates a level playing field for existing and new covered entities. Lastly, a disproportionate impact on low-income consumers can be greatly ameliorated through adroit use of revenue from emissions allowance auctions to offset the additional burden on low-income consumers from increased energy costs due to free allocation.

「온실가스 배출권의 할당 및 거래에 관한 법률」제정 논의에 있어서의 문제점 검토

李비안(Rhee, Vi-An) 중앙법학회 2012 中央法學 Vol.14 No.1

Review of the Existing Bill on 「How to Issue and Trade Emission Allowances of Greenhouse Gas」 Korea has already enacted " Green Growth Act" and then set the goal of reducing 30 percent of Greenhouse Gas BAU by 2020. Under the Act, emissions trading program of Greenhouse gas is planned to be adopted from 2015. When emissions trading system is decided to adopt in Korea, the most important issue is "how to allocate initial emissions allowances." Is "free allocation" during fixed dates inevitable? if a mechanism to protect international competitiveness of Korea`s industry was pursued at the same time, there could be no use of free allocations. In this aspect, the government`s decision to allocate 95 percent of whole allowances free for 6 years from 2015 should be reconsidered. Even though free allocations are argued to be required temporally, the existing bill is highly on the equity issues of emissions allocations. After all, the emissions trading program under the existing bill could not be expected to be successful. Nevertheless, the government of Korea was satisfied to show its intention to introduce the emissions trading program regardless of whether the decision to adopt the program was made from the executive intentions or the results of working -level consideration.

배출권 할당과 할당 배출권 중심으로 본 유럽연합 배출권 거래제도 (EU ETS)의 발전 전망

정혁 한국유럽학회 2014 유럽연구 Vol.32 No.2

The European Union is striving for the successful implementation of the ‘2020Climate and Energy Package’and the ‘2030 framework for climate and energypolicies’after proclaiming that the policies are interim process for the success ofthe long term low carbon policy of the ‘Road map for moving to a low-carboneconomy in 2050’. The European Commission is putting emphasis on thedevelopment of the European Union Emissions Trading System through theimprovements, which the aforementioned policies have in common in reducing theGHG emissions. The paper is, firstly, aimed at analyzing the improvements and theeffects after the 1st and 2nd trading period of the EU ETS in the light ofallowance allocations and the allocated allowances that are overarching in itseffective operation. And the second purpose is to try to bring forth the prospectas for the development of the EU ETS and a few of suggestions for it in theallowance allocation and the allowances. Following the introduction, the middlesection of the paper primarily shed light on the improvements and the effects inthe light of the allowance allocations and the allowances during the 1st and 2ndtrading period and how the improvements work out during the present 3rd tradingperiod. Finally, the prospect of the ultimate problematic element that the discussedimprovements and the effects in the middle section led to, will be laid out inconclusion with a couple of suggestions to ease the problematic element. 유럽연합은‘2050 저탄소 경제로의 로드 맵’이라는 장기적인 저탄소 정책의 성공을 위해‘2020 기후에너지 팩키지’와 ‘2030 기후에너지 정책 기본 틀’을 중간 점검과정의 중기 정책들로 천명하고 이들 정책들의 효과적인 이행을 위해 매진하고 있다. 유럽연합 집행위원회는 온실가스 감축 측면에서 앞서 언급한 두 정책들의 공통분모로서 유럽연합 배출권 거래제도의 개선을 통한 발전에 그 역점을 두고 있다. 본 글의 목적은 제1기와 제2기를 거친 후 유럽연합 배출권 거래제도의 운영상의 가장 중심인 배출권 할당과 할당배출권측면에서의 개선사항들과 3기에 미치는 그 영향들을 분석하고 이에 대한 향후 발전 전망과 그제안들을 제시하는 데 있다. 본론에서는 제1기, 제2기 거래기간에 걸쳐 발생했던 배출권할당과 할당 배출권 관련 문제들에 관해 이루어졌던 개선사항들과 추후 발생했던 그 영향들, 그리고 현재 제 3기중의 그 개선에 관한 현주소를 집중적으로 조명해본다. 결론에서는 본론에서 다뤘던 배출권 할당과 할당 배출권 측면 문제들의 근본적인 귀결형태의 한 주요 문제에 관한 전망과 그 개선방안들을 제안한다.

Development of a CO₂ emission benchmark for achieving the national CO₂ emission reduction target by 2030

Jeong, Kwangbok,Hong, Taehoon,Kim, Jimin Elsevier 2018 Energy and buildings Vol.158 No.-

<P><B>Abstract</B></P> <P>To achieve the national CO<SUB>2</SUB> emission reduction target (CERT) in the building sector established together with the launching of POST-2020, various countries are introducing the emission trading scheme (ETS), which is considered to have a considerable effect on CO<SUB>2</SUB> emission reduction. Towards this end, it is important to establish a reasonable CO<SUB>2</SUB> emission benchmark for the effective allocation of CO<SUB>2</SUB> emission allowances. As the previous CO<SUB>2</SUB> emission benchmark, however, was focused on the industry sector (e.g., power generation sector, manufacturing sector, etc.), it is difficult to apply to the building sector. To solve this problem, this study aimed to develop a CO<SUB>2</SUB> emission benchmark for allocating CO<SUB>2</SUB> emission allowances in multi-family housing complexes (MFHCs). This study was conducted in three steps: (i) establishment of the database; (ii) formation of clusters using a decision tree (DT); and (iii) development of the CO<SUB>2</SUB> emission benchmark for MFHCs. The nine CO<SUB>2</SUB> emission benchmarks (i.e., 0.03116-0.06667 tCO<SUB>2</SUB>/m<SUP>2</SUP> year) for MFHCs were developed using a DT based on the heating type and the elapsed years, and were validated using the Kruskal-Wallis test and <I>t</I>-test. It was shown that using the developed CO<SUB>2</SUB> emission benchmark for MFHCs to calculate the national CO<SUB>2</SUB> emission reduction in MFHCs satisfied the national CERT (18.1%). On the other hand, when the CO<SUB>2</SUB> emission benchmarks for MFHCs calculated based on the South Korean ETS and the EU ETS, which were applied to the industry sector, were used, the national CO<SUB>2</SUB> emission reduction was −5.29 and 45.55%, respectively. The proposed CO<SUB>2</SUB> emission benchmark for MFHCs may be useful for policymaking for determining the allocation of CO<SUB>2</SUB> emission allowances for achieving the national CERT.</P> <P><B>Highlights</B></P> <P> <UL> <LI> A reasonable classification process was proposed using the decision tree method. </LI> <LI> Benchmark was developed to meet the national CO2 emissions reduction target by 2030. </LI> <LI> The data mining and statistical methodologies were used in this study. </LI> <LI> The CO2 emission allowance by cluster was estimated based on CO2 emission benchmark. </LI> <LI> It can help policy-makers in determining the allocation of CO2 emission allowance. </LI> </UL> </P>

산출분석을 이용한 보육정책 분석 - 길버트, 스펙트, 테렐의 분석틀을 중심으로-

이진숙,전효정 영남대학교 인문과학연구소 2010 人文硏究 Vol.- No.58

These days, female economic activity has created a vacuum in private childcare system. Since then, childcare was extended to social issue and has become national agenda. Now, the childcare policy is much increasing in allocation of resource. In this vein, this study was to analyze the developmental process of childcare policy and the result of policy outputs by the framework of output analysis in terms of the target of allowance, type of allowance, delivery system, and finance. Then, based on this, implications for political improvement were discussed. As a result of benefit target, it was necessary to accept various childcare needs and to improve facilities for ensuring universality of allowance. In terms of allowance type, there have been already guaranteed various options for customer, but it was still necessary to reinforce facility service and to ask plans for settlement of the voucher system. Finally, in terms of delivery system, there should have improvement of public childcare facility and a mutual assistance system between the central government and the local government. 본 연구는 사회복지 부문의 자원배분에서 가장 큰 폭의 양적 팽창현상을 보이고 있는 보육정책에 대해 길버트와 스펙트 그리고 테렐의 산출분석틀을 이용하여 급여의 대상, 형태, 전달체계, 재원의 측면에서 보육정책의 통시적 발전과정과 정책산출결과를 분석하고 문제점을 도출한 뒤 보육정책의 개선을 위한 정책방안들을 제시하는 데에 그 목적이 있다. 본 연구의 결과, 보육정책의 급여대상 면에서는 선별주의에서 보편주의로 변화해가는 움직임이 포착되고 있으나 아직은 미흡하여 급여대상의 보편성을 강화하기 위한 다양한 보육욕구의 수용과 시설확충이 요구되고 있었다. 급여형태면에서는 다양성이 형성되어 소비자의 선택권이 점진적으로 보장되고 있으나 시설서비스의 전문성 강화와 바우처제도의 정착을 위한 방안이 요구되고 있었다. 전달체계 측면에서는 중앙정부와 지방정부간 공조체제의 구축과 공보육시설의 확충이 필요하다고 판단되었으며, 재원에서는 보육재정의 증가를 통한 보육의 공공성 강화가 요구되고 있었다.

적절한 업종간 배출권 할당을 위한 중・단기 업종별 산출량 추정 모형: 잔차지수함수의 활용

임동순,한택환 한국환경정책학회 2018 環境政策 Vol.26 No.2

This study aims to construct an output projection model, for an efficient and fair allocation process in the emission trading system in Korea. The estimation results will enhance the objectiveness and acceptability of emission allowance allocation. The estimation of the output projection model has three steps. The first step is estimating the industry level mid-term projection model based on KLEM production function. The second step is estimating the short-term index function by regressing the ratio of actual value over predicted value with respect to macroeconomic short-term variables and industry-specific short-term variables. The final step is to obtain projected mid- and short-term output by multiplying the predicted mid-term output and predicted short-term index. The short-term index is the function of short-term macroeconomic variables including interest rate, foreign exchange rate, price level, etc. and short-term industry specific variables including investment of major exporting markets. The results for a representative industry show that with short-term variables including price level and foreign exchange rate the test statistics are largely significant. However, short-term industry specific variables, such as investment in developing or developed countries, show varying directions and degrees of statistical significance, reflecting the position of the industry within the international value chain. The predictions from mid-term model, macroeconomic short-term model, and mixed short-term model sometimes converge, though in many cases they are somewhat diverged. In general, the predicting power of the mixed short-term model is the best. Looking back to the emission allowance allocation for period 1 in 2014, it is demonstrated that, for the textile industry in particular, there would have been less disputes if the mixed short-term model had been adopted, as proposed in this study. 본 연구의 목적은 온실가스 배출권거래제도의 효율적이고 공정한 운영을 위한 배출권 할당을 위하여서 산출량의 추정이나 전망이 필요할 경우 배출권 할당이라는 정책적 목적에 부합되는 객관적이고 수용성높은 산출량 전망 모형을 구축하는 것이다. 산출량 전망은 중기적 전망과 단기적 지수함수전망의 2단계구조로 이루어져 있다. 1차적으로 중기 전망치가 KLEM 생산함수에 기반을 둔 중기적 산출전망 모형에 의하여 추정된다. 그 이후 실제 산출량 값과 산출량 전망치의 비율을 종속변수로 하여 추정되는 단기지수함수를 추정한 후 중기전망치와 단기지수합수 값을 곱하여 중․단기 산출량 전망치가 추정된다. 단기지수함수의독립변수로는 단기거시변수들인 금리, 환율, 물가, 유가 등과 단기산업특성변수들인 주요 교역 대상국의고정자본형성 등의 변수가 포함된다. 대표적인 산업에 대한 추정결과에 따르면, 대체로 유의한 통계량이제시되고 있으며, 단기거시변수인 물가수준, 환율 등의 영향이 상대적으로 크게 나타났다. 산업 속성 변수로 채택된 선진국과 개발도상국의 투자 변수는 개별 산업의 국제 분업 상의 속성을 반영하여 산업별로 상이한 결과를 보여주고 있다. 여러 산업에 대한 전망치들을 중기 모형, 단기거시모형, 단기혼합모형별로 비교하여 보면 3개 전망치가 거의 유사한 경우도 다수 있지만 큰 괴리를 보이는 산업들도 있었으며 대체로 혼합모형의 예측 타당성이 높은 것으로 나타났다. 이는 우리나라 배출권거래제도 1차 기간 배출권할당에서단기모형 특히 혼합모형을 적용하였을 경우 효율성과 공정성이 개선되었을 것임을 시사하고 있다고 할 수있다.

온실가스 배출권거래제 법령의 주요내용과 법적 문제

현준원 ( Jun Won Hyon ) 한국환경법학회 2013 環境法 硏究 Vol.35 No.1

작년에 「온실가스 배출권의 할당 및 거래에 관한 법률」 및 동법 시행령이 제정됨으로써, 우리나라는 2015년부터 온실가스 배출권거래제라는 새로운 제도를 도입ㆍ시행하게 되었다. 온실가스 배출권거래제는 참여대상업체가 자신이 배출한 온실가스의 양에 상응하는 배출권을 정부에 제출하도록 하되, 부족하거나 남는 배출권이 있으면 이를 거래할 수 있도록 하는 제도로써, 온실가스 감축을 위한 다양한 수단들 중 가장 비용효율적인 수단으로 평가되고 있는 제도이다. 본 논문은 「온실가스 배출권의 할당 및 거래에 관한 법률」 및 동법 시행령이 정하고 있는 주요내용들을 설명하고, 현행 법령의 검토를 통하여 제기가능한 몇가지 법적 문제점들을 지적하고 있다. 배출권거래제는 시장에 기반하여 규제대상자인 참여기업이 가장 유리한 방법을 선택하여 규제에 순응할 수 있도록 하는 다양한 장치들을 제공하고 있기 때문에, 그만큼 제도가 복잡해지는 경향이 있으며 이러한 복잡성이 일부 법적 문제를 야기할 가능성이 있는 것도 사실이다. 특히 본 논문이 다루고 있는 배출권거래제 기본계획과 국가 배출권 할당계획간의 관계에 관한 문제, 할당대상업체 단위의 배출권 할당의 문제, 할당의 조정 및 취소와 관련한 문제, 유상 할당의 용어와 관련한 문제 등은 문제해결을 위한 입법론적 대안을 고민해 보아야 할 과제로 이러한 고민은 동 제도가 성공적으로 도입ㆍ정착하기 위하여 반드시 거쳐야 할 과정인 것으로 생각된다. Korea will introduce and execute the Emissions Trading System from 2015 by establishing ‘Act on the Allocation and Trading of Greenhouse-Gas Emissions Allowances’ and its enforcement ordinance in 2012. The Emissions Trading System is a structure that business entity should submit their emissions corresponding emission allowances to the government, Thus, it is the most economically effective system for reducing greenhouse gases compared to other methods. This report explains main contents about Act and enforcement ordinance on the Allocation and Trading of Greenhouse-Gas Emissions Allowances and points out its possible problems by reviewing existing legislations. The Emissions Trading System offers various tools based on market. Therefore business entity can choose the best profitable methods to adapt regulations. Therefore the system tends to grow complex; its complexities have the possibilities to make legal problems. This report particularly illustrates the problems with the master plan for Emission Trading System and Plan for Allocation of National emissions allowances. The terms for allocated in return, those contents should be considered for Emissions Trading System to successfully settle.

우리나라 온실가스·에너지 목표관리제 및 온실가스 배출권거래제의 WTO협정 합치성에 관한 연구

이천기(Lee, Cheon Kee) 한국국제경제법학회 2013 국제경제법연구 Vol.11 No.3

본고에서는 저탄소 녹색성장 국가비전 목표를 달성하는 데 주요한 기능을 수행하고 있는 녹색성장기본법에 따른 ‘온실가스·에너지 목표관리제’ 및 온실가스 배출권의 할당 및 거래에 관한 법률에 따라 2015년부터 시행될 ‘온실가스 배출권 거래제도’ 등 2개 온실가스 저감제도의 WTO협정에의 합치성 여부를 고찰하고, 향후 추가적인 온실가스 저감정책을 계획·이행하는 과정에서 우리나라가 국제무역마찰을 예방하기 위해 주의해야 할 정책적·기술적 내용들을 확인하고자 한다. 더불어, 향후 이해관계국에 의해 한국을 상대로 WTO에 제소가 이루어지는 경우 논의될 수 있는 WTO분쟁해결제도상의 절차적 측면에 대해서도 추가적으로 검토하고자 한다. The aim of this paper is, firstly, to focus on WTO consistency of Korea’s ‘Greenhouse Gas and Energy Target Management System’ under the Framework Act on Low Carbon Green Growth and the ‘Emissions Trading System’(ETS) under the Act on Allocation and Trading of Greenhouse Gas Emissions Allowances. Further, with a view to preventing any unnecessary disputes in international trade, this paper discusses strategic and technical approaches Korea needs to bear in mind when dealing with climate change response measures in the future; and lastly, in preparation for cases where Korea’s above measures are to be challenged before the WTO dispute settlement system, this paper further explains detailed procedural aspects under the DSU, including the question of burden of proof.

Challenges and Improvements based on the First Trading Period of South Korea’s Emissions Trading Scheme (Focusing on Emission Allowance Allocation)

정혁 한국기후변화학회 2020 한국기후변화학회지 Vol.11 No.3

South Korea’s Emissions Trading Scheme (KETS) has received severe criticism regarding allowance allocation issues since its launch in 2015. The primary purpose of this study was to present the allocation issues identified during the first KETS trading period and to suggest feasible approaches to overcoming these challenges that fit within KETS’ overarching development direction. The following four issues were identified as major challenges for KETS at the end of the first trading period: 1) Low trading volumes of emission allowances, 2) fewer allocations based on lower mean emissions during the previous trading period, 3) lack of c[onsideration of adjustment factors for new installations and deployments, and 4) the absence of opportunities for opinion exchange on allocation issues between participating businesses and the government. Feasible approaches to these challenges include 1) setting up guidance for each measure aimed to stabilize the market price of emission allowances, 2) allocating additional allowance amounts as greenhouse gas (GHG) emissions are reduced, 3) lowering the adjustment factor for new installations and deployments, and 4) establishing an official platform managed by a supervising body involving civil experts, governmental and non-governmental organizations, and state-owned banks. These strategies would contribute to future development of KETS.