Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS
Keppler, Jan-Horst; Mansanet-Bataller, Maria (2010), Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS, Energy Policy, 38, 7, p. 3329-3341. http://dx.doi.org/10.1016/j.enpol.2010.02.004
TypeArticle accepté pour publication ou publié
Journal nameEnergy Policy
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Abstract (EN)The topic of this article is the analysis of the interplay between daily carbon, electricity and gas price data with the European Union Emission Trading System (EU ETS) for CO2 emissions. In a first step we have performed Granger causality tests for Phase I of the EU ETS (January 2005 until December 2007) and the first year of Phase II of the EU ETS (2008). The analysis includes both spot and forward markets—given the close interactions between the two sets of markets. The results show that during Phase I coal and gas prices, through the clean dark and spark spread, impacted CO2 futures prices, which in return Granger caused electricity prices. During the first year of the Phase II, the short-run rent capture theory (in which electricity prices Granger cause CO2 prices) prevailed. On the basis of the qualitative results of the Granger causality tests we obtained the formulation testable equations for quantitative analysis. Standard OLS regressions yielded statistically robust and theoretically coherent results.
Subjects / KeywordsCO2 futures; Energy prices; Granger causality
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The impacts of variable renewable production and market coupling on the convergence of French and German electricity prices Keppler, Jan-Horst; Le Pen, Yannick; Phan, Sébastien (2016) Article accepté pour publication ou publié
The Impact of Intermittent Renewable Production and Market Coupling on the Convergence of French and German Electricity Prices Boureau, Charlotte; Le Pen, Yannick; Phan, Sébastien; Keppler, Jan-Horst (2014) Document de travail / Working paper