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2026 Vol.25, Issue 2 Preview Page
Price Level, Price Risk, and the Cost of Equity: Evidence from the Marketisation of China’s Coal-Power Tariff

전력가격 수준과 가격위험, 그리고 자기자본비용: 중국 석탄화력 기준전가 시장화의 증거

WenJie Zhao1
,
Hyoung-Goo Kang2*
조 문걸1
,
강 형구2*
1Master’s Student, Department of Computational Finance, Hanyang University (First Author)
2Professor, Department of Finance, Hanyang University Business School, Hanyang University (Corresponding Author)
1한양대학교 컴퓨테이셔널 파이낸스공학과(주저자)
2한양대학교 경영대학 파이낸스경영학과(교신저자)
*Corresponding Author
30 September 2026. pp. 167-222
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Abstract

On 12 October 2021 China’s National Development and Reform Commission widened the permitted trading band around the provincial coal-power benchmark tariff, abolished the industrial and commercial catalogue tariff, and exempted energy-intensive users from the upward cap. Chinese listed firms moved from an administered electricity price to a market price, and two properties of that price changed together: how high it was, and how predictable it was. Studies of energy price shocks generally treat a price change as a single treatment, which leaves open the question of which of the two properties the equity market responds to. We build both exposures from the same pre-reform measure of a firm’s pre-reform energy- cost intensity, one scaled by the level of the provincial market premium and one by its month-to-month variability, and enter them together. Exposure to variability shows the larger and more consistent association with the implied cost of equity; the association for exposure to the level is indistinguishable from zero in this design once the lower-order energy-intensity term is included. Where the level exposure does show up unambiguously is on the real side of the firm, in gross margins, in energy intensity and in energy-saving innovation, which is the adjustment margin the prior literature has documented. The risk coefficient is attenuated when realised cash-flow volatility is controlled for, consistent with that being one channel, and the association is markedly weaker among firms disclosing long-term bilateral power purchase agreements. The association survives when exposure is rebuilt from 2022 prices only, from the months observed up to each year, or from the spot-market pilot designation announced before the reform. In a conventional design that uses the administrative energy-intensive industry classification as the treated group, the post-reform difference is largely absorbed once the continuous exposures are introduced jointly, and the remaining association attaches to the variability of the price rather than to its level. Evaluations of price marketisation that consider only the average price therefore omit the dimension that is associated with the required return in this setting.

Keywords
Electricity market reform
Energy price risk
Cost of equity
Energy intensity
Chinese listed firms

2021년 10월 12일 중국 국가발전개혁위원회는 성(省)별 석탄화력 기준전가(基準電價)를 중심으로 한 거래 허용범위를 확대하고, 산업용·상업용 목록전가를 폐지하였으며, 에너지다소비 사용자에 대해서는 상한 규제를 면제하였다. 이로써 중국 상장기업은 행정가격 체제에서 시장가격 체제로 이행하였고, 그 과정에서 전력가격의 두 가지 성질, 즉 가격이 얼마나 높아졌는가와 얼마나 예측하기 어려워졌는가가 함께 변화하였다. 에너지 가격충격을 다룬 연구는 대체로 가격 변화를 하나의 처치로 취급해 왔으며, 그 결과 주식시장이 두 성질 가운데 무엇에 반응하는지는 규명되지 않은 채 남아 있다. 본 연구는 개혁 이전 기업의 에너지비용 의존도를 나타내는 동일한 지표에 성별 시장 프리미엄의 평균과 월별 변동성을 각각 결합하여 두 개의 노출도를 구성하고, 이를 함께 회귀식에 투입한다. 자기자본비용과 더 크고 더 일관된 관계를 보이는 것은 변동성 노출도이다. 수준 노출도의 관계는 약하며, 에너지집약도 하위차수 항을 포함하면 본 연구의 설계와 측정방식 하에서는 어떤 설정에서도 0과 구별되지 않는다. 수준 노출도가 뚜렷하게 나타나는 곳은 기업의 실물 측면, 즉 매출총이익률과 에너지집약도, 에너지절감 혁신이며 이는 선행연구가 밝혀 온 조정경로와 일치한다. 실현 현금흐름 변동성을 통제하면 위험 노출도의 계수가 약화되어 이를 하나의 경로로 보는 해석과 부합하며, 장기 양자 전력구매계약을 공시한 기업에서는 그 관계가 뚜렷하게 약하게 관찰된다. 위험 노출도의 관계는 2022년 가격정보만으로, 또는 각 연도까지 이용 가능한 정보만으로 노출도를 재구성하거나, 개혁 이전에 공표된 현물시장 시범지역 지정으로 실현 변동성을 대체하여도 유지된다. 행정적으로 지정된 에너지다소비 업종을 처치집단으로 삼는 통상적 설계는 연속 노출도가 주로 가격의 변동성에 귀속시키는 관계를 가격의 수준에 귀속시킨다. 따라서 가격 시장화의 후생 평가는 가격의 수준에서 멈출 경우 불완전하다.

키워드
전력시장 개혁
에너지 가격위험
자기자본비용
에너지집약도
중국 상장기업
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Information
  • Publisher :Korea Energy Economic Institute·Korea Resource Economics Association
  • Publisher(Ko) :에너지경제연구원·한국자원경제학회
  • Journal Title :Korean Energy Economic Review
  • Journal Title(Ko) :에너지경제연구
  • Volume : 25
  • No :2
  • Pages :167-222
  • Received Date : 2026-08-08
  • Revised Date : 2026-09-20
  • Accepted Date : 2026-09-22
  • DOI :https://doi.org/10.22794/keer.2026.25.2.006
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