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Wavelet packet transforms analysis applied to carbon prices

Chevallier, Julien (2011), Wavelet packet transforms analysis applied to carbon prices, Economics Bulletin, 31, 2, p. 1731-1747

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Type
Article accepté pour publication ou publié
Date
2011-06
Journal name
Economics Bulletin
Volume
31
Number
2
Publisher
Economics Bulletin
Pages
1731-1747
Metadata
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Author(s)
Chevallier, Julien
Abstract (EN)
This paper deals with carbon price variations using a multi time scale decomposition based on the theory of wavelets. Our approach is based on wavelet packet transforms. This original approach enables us to identify that the periods which contribute the most to EUA spot, EUA futures, and CER futures price variations are February-April 2008, October-November 2008, and the recent 2009-2011 business cycle which correspond to major institutional uncertainties and changes in macroeconomic fundamentals. This wavelet decomposition therefore provides additional evidence on the drivers of carbon prices being institutional events and economic activity.
Subjects / Keywords
Carbon; price variations; wavelet decomposition; wavelet packet transforms
JEL
C02 - Mathematical Methods
E31 - Price Level; Inflation; Deflation
Q43 - Energy and the Macroeconomy
L72 - Mining, Extraction, and Refining: Other Nonrenewable Resources