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dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2010-05-26T08:40:17Z
dc.date.available2010-05-26T08:40:17Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4210
dc.descriptionEU ETS = European Union Emissions Trading Schemeen
dc.language.isoenen
dc.subjectEconometric analysisen
dc.subjectEuropean Union Emissions Trading Schemeen
dc.subjectMacroeconomic risk factorsen
dc.subjectCarbon assetsen
dc.subjectCO2en
dc.subject.ddc333en
dc.subject.classificationjelE69en
dc.subject.classificationjelQ43en
dc.subject.classificationjelQ40en
dc.titleCarbon futures and macroeconomic risk factors : a view from the EU ETSen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article examines the empirical relationship between the returns on carbon futures – a new class of commodity assets traded since 2005 on the European Union Emissions Trading Scheme (EU ETS) – and changes in macroeconomic conditions. By using variables which possess forecast power for equity and commodity returns, we document that carbon futures returns may be weakly forecast on the basis of two variables from the stock and bond markets, i.e. equity dividend yields and the “junk bond” premium. Our results also suggest that the forecast abilities of two variables related to interest rates variation and economic trends on global commodity markets, respectively the U.S. Treasury bill yields and the excess return on the Reuters/CRB Index, are not robust on the carbon market. This latter result reinforces the belief that the EU ETS is currently operating as a very specific commodity market, with distinct fundamentals linked to allowance supply and power demand. The sensitivity of carbon futures to macroeconomic influences is carefully identified following a sub-sample decomposition before and after August 2007, which attempts to take into account the potential impact of the “credit crunch” crisis. Collectively, these results challenge the market observers' viewpoint that carbon futures prices are immediately correlated with changes in the macroeconomic environment, and rather suggest that the carbon market is only remotely connected to macroeconomic variables. The economic logic behind these results may be related to the fuel-switching behavior of power producers in influencing primarily carbon futures price changes.en
dc.relation.isversionofjnlnameEnergy Economics
dc.relation.isversionofjnlvol31en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2009-07
dc.relation.isversionofjnlpages614-625en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.eneco.2009.02.008en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherIPC Science and Technology Pressen
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


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