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dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2010-05-28T16:25:48Z
dc.date.available2010-05-28T16:25:48Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4237
dc.language.isoenen
dc.subjectEuropean Union Emissions Trading Schemeen
dc.subjectCO2 priceen
dc.subject.ddc333en
dc.subject.classificationjelC3en
dc.subject.classificationjelQ49en
dc.subject.classificationjelQ48en
dc.titleA note on cointegrating and vector autoregressive relationships between CO2 allowances spot and futures pricesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article investigates the cointegrating and vector autoregressive relationships in CO2 allowances spot and futures prices, valid for compliance under the EU Emissions Trading Scheme (EU ETS). Our empirical analysis yields to reject a cointegrating relationship between CO2 spot and futures prices, when accounting for the presence of a structural break in February 2009 (possibly due to the delayed impact of the ``credit crunch'' crisis). Then, a vector autoregression analysis (complemented by impulse response functions) indicates that futures prices are relevant for price formation in the spot market (while the opposite is not true). Overall, this analysis appears useful to making informed hedging decisions in the banking and finance industries, while allowing regulated utilities to relate futures prices to better forecasts of spot prices.en
dc.relation.isversionofjnlnameEconomics Bulletin
dc.relation.isversionofjnlvol30en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2010-05
dc.relation.isversionofjnlpages1564-1584en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherVanderbilt Universityen
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


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