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EUAs and CERs : Vector autoregression, impulse response function and cointegration analysis

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EB-10-V30-I1-P51.pdf (245.3Kb)
Date
2010-01
Indexation documentaire
Economie de la terre et des ressources naturelles
Subject
EUA; CER; Vector Autoregression; Impulse Response Function; Cointegration; Vector Error Correction Model; EU ETS; Price Discovery
Code JEL
Q4; C3
Nom de la revue
Economics Bulletin
Volume
30
Numéro
1
Date de publication
02-2010
Pages article
558-576
Nom de l'éditeur
Economics Bulletin
URI
https://basepub.dauphine.fr/handle/123456789/4226
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Auteur
Chevallier, Julien
Type
Article accepté pour publication ou publié
Résumé en anglais
EUAs are European Union Allowances traded on the EU Emissions Trading Scheme (EU ETS), while Certified Emissions Reductions (CERs) arise from the Clean Development Mechanism under the Kyoto Protocol. These emissions assets attract an increasing attention among brokers, investors and operators on emissions markets, because they may be both used for compliance under the EU ETS (up to fixed limits). This paper proposes a statistical analysis of the inter-relationships between EUA and CER price series, by using vector autoregression, impulse response function, and cointegration analysis on daily data from March 9, 2007 to January 14, 2010. The central results show that EUAs and CERs affect each other significantly through the vector autoregression model, and react quite rapidly to shocks on each other through the impulse response function analysis. Most importantly, both price series are found to be cointegrated, with EUAs leading the price discovery process in the long-term through the vector error correction mechanism.

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