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Price drivers and structural breaks in European carbon prices 2005-07

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Date
2008
Dewey
Economie de la terre et des ressources naturelles
Sujet
CO2; Market price fundamentals; European Union Emissions Trading Scheme; Carbon emissions trading
JEL code
Q49; Q48; Q43
Journal issue
Energy Policy
Volume
36
Number
2
Publication date
02-2008
Article pages
787-797
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.enpol.2007.10.029
URI
https://basepub.dauphine.fr/handle/123456789/4222
Collections
  • LEDa : Publications
Metadata
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Author
Alberola, Emilie
Chevallier, Julien
Chèze, Benoît
Type
Article accepté pour publication ou publié
Abstract (EN)
This article aims at characterizing the daily price fundamentals of European Union Allowances (EUAs) traded since 2005 as part of the Emissions Trading Scheme (ETS). The presence of two structural changes on April 2006 following the disclosure of 2005 verified emissions and on October 2006 following the European Commission announcement of stricter Phase II allocation allows to isolate distinct fundamentals evolving overtime. The results extend previous literature by showing that EUA spot prices react not only to energy prices with forecast errors, but also to unanticipated temperatures changes during colder events. Besides, the sub-period decomposition of the pilot phase gives a better grasp of institutional and market events that drive allowance price changes.

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