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dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2010-11-18T11:22:32Z
dc.date.available2010-11-18T11:22:32Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5111
dc.descriptionCet article est accompagné en fichier attaché d'une annexe non publiée.en
dc.language.isoenen
dc.subjectMacroeconomicsen
dc.subjectCarbon priceen
dc.subjectFAVARen
dc.subjectFactor modelsen
dc.subjectCommoditiesen
dc.subjectFinanceen
dc.subject.ddc332en
dc.subject.classificationjelF41en
dc.subject.classificationjelE52en
dc.subject.classificationjelC53en
dc.titleMacroeconomics, finance, commodities: Interactions with carbon markets in a data-rich modelen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article assesses the transmission of international shocks to EUA spot, EUA futures, and CER futures carbon prices using a broad dataset that includes 115 macroeconomic, financial and commodities indicators with daily frequency from April 4, 2008 to January 25, 2010 totalling 463 observations. The framework adopted is a Factor-Augmented Vector Autoregression model with latent factors extracted from the dataset, as proposed by Bernanke et al. (2005). The main results can be summarized as follows. First, based on impulse responses, we show that carbon prices tend to respond negatively (between − 0.2 and − 1.2 standard deviation) to an exogenous shock that reduces global economic indicators by one standard deviation. Second, we find evidence that the responses are heterogeneous among the different kinds of carbon prices: CER futures prices tend to react much more significantly than EUA spot and futures prices. Third, the factors explain about 50% of the total variance of all variables in the dataset. The largest contribution is accounted for by the factor correlated with commodities markets, which explains about 28% of the total variability.en
dc.relation.isversionofjnlnameEconomic Modelling
dc.relation.isversionofjnlvol28
dc.relation.isversionofjnlissue1-2
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages557-567
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.econmod.2010.06.016en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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