Résumé en anglais

This article analyzes the modelling of risk premia in CO2 allowances spot and futures prices, valid for compliance under the EU Emissions Trading Scheme (EU ETS). Similarly to electricity markets, a salient characteristic of CO2 allowances is that the theory of storage does not hold, as CO2 allowances only exist on the balance sheets of companies regulated by the scheme. The main result features positive time-varying risk premia in CO2 spot and futures prices, which are strictly higher for post-2012 contracts (€6–9/ton of CO2) than for Phase II contracts (€0–6/ton of CO2). Contrary to Benth et al.'s (2008) for electricity markets, a positive relationship between risk premia and time-to-maturity is found in the EU ETS. As for relative differences between CO2 futures and spot prices, CO2 futures traded between +1% (December 2008 contract) and +33% (December 2014 contract) above spot prices during February 2008–April 2009. Contrary to Bessembinder and Lemmon (2002) for the electricity market, a positive relationship between risk premia and the variance/skewness of CO2 spot prices is found. The futures-spot bias to the EU ETS explains around 1–6% of the variance of CO2 futures premia.