Flexibility in the market for international carbon credits and price dynamics difference with European allowances

Autor: Claire Gavard, Djamel Kirat
Přispěvatelé: Zentrum für Europäische Wirtschaftsforschung (ZEW) (Centre for European Economic Research (Mannheim, Germany)), Universität Mannheim [Mannheim], Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Laboratoire d'Économie d'Orleans [UMR7322] (LEO), Université d'Orléans (UO)-Université de Tours (UT)-Centre National de la Recherche Scientifique (CNRS), ANR-10-LABX-0100,VOLTAIRE,Geofluids and Volatil elements – Earth, Atmosphere, Interfaces – Resources and Environment(2010), Laboratoire d'Économie d'Orleans [FRE2014] (LEO), Laboratoire d'Économie d'Orleans (LEO), Centre National de la Recherche Scientifique (CNRS)-Université de Tours-Université d'Orléans (UO)
Jazyk: angličtina
Rok vydání: 2018
Předmět:
Economics and Econometrics
Autoregressive conditional heteroskedasticity
020209 energy
Risk premium
European Allowances International Credits
Emissions Trading
Power Sector
Time Series Analysis
02 engineering and technology
Monetary economics
Power sector
7. Clean energy
[SHS]Humanities and Social Sciences
Microeconomics
0502 economics and business
0202 electrical engineering
electronic engineering
information engineering
Economics
jel:Q48
media_common.cataloged_instance
Time series
050207 economics
European union
Carbon credit
ComputingMilieux_MISCELLANEOUS
media_common
Price elasticity of demand
Cointegration
05 social sciences
Carbon offset
jel:C32
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
jel:C58
General Energy
13. Climate action
jel:Q54
Carbon market
Greenhouse gas
8. Economic growth
jel:Q58
050202 agricultural economics & policy
Emissions trading
European allowances International credits Emissions trading Power sector Structural breaks Time series analysis
Volatility (finance)
Zdroj: Energy Economics
Energy Economics, Elsevier, 2018, 76, pp.504-518. ⟨10.1016/j.eneco.2018.10.018⟩
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2018.10.018⟩
Popis: International audience; The Paris Agreement establishes a mechanism which allows a Party to benefit from greenhouse gas emissions reductions conducted in a host Party to fulfil its nationally determined contribution. In this context, the objective of this paper is to improve the understanding of carbon offset price dynamics in comparison with regular carbon market allowances. We combine a cointegration approach with risk premium considerations to compare the price dynamics of European Union Allowances (EUA) and Certified Emission Reductions (CER) in the second phase of the European carbon market. By taking account of breaks identified in the series, we find that, while the EUA and CER returns present comparable dynamics mainly driven by fuel switching, the long-term relationships between the price of these two types of permits and their drivers differ significantly. Whereas the price of EUA is well explained by a demand effect, the impact of energy prices on the CER price suggests the existence of a supply-side effect for credits. We find that the price elasticity of allowances with regard to the coal and gas prices is negative in time periods of low economic activity and positive during the remaining time. We explain the former with the fact that the market is not tight and the latter with the effect of the economic activity on the price of commodities and energy.
Databáze: OpenAIRE
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