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European carbon prices fundamentals in 2005-2007: the effects of energy markets, temperatures and sectorial production

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WP_EcoX_2007-33.pdf (1.024Mb)
Date
2007-10
Dewey
Economie de la terre et des ressources naturelles
Sujet
Carbon Emissions Trading; EU ETS; Market Price Fundamentals
JEL code
Q54; Q48; Q40
Conference name
Royal Economic Society third PhD Presentation Meeting
Conference date
01-2008
Conference city
London
Conference country
Royaume-Uni
URI
https://basepub.dauphine.fr/handle/123456789/4229
Collections
  • LEDa : Publications
Metadata
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Author
Chevallier, Julien
Alberola, Emilie
Chèze, Benoît
Type
Communication / Conférence
Item number of pages
35
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). First, the presence of two structural changes on April, 2006 following the disclosure of 2005 veri?ed emissions and on October, 2006 following the European Commission announcement of stricter Phase II allocation allow to isolate distinct fundamentals evolv- ing overtime. The results extend previous literature by showing that spot prices react not only to other energy markets and temperatures, but also to economic activity within the main sectors covered by the EU ETS such as proxied by sectoral production indices. 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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