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Wavelet packet transforms analysis applied to carbon prices

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Date
2011-06
Dewey
Economie de la terre et des ressources naturelles
Sujet
Carbon; price variations; wavelet decomposition; wavelet packet transforms
JEL code
C02; E31; Q43; L72
Journal issue
Economics Bulletin
Volume
31
Number
2
Publication date
06-2011
Article pages
1731-1747
Publisher
Economics Bulletin
URI
https://basepub.dauphine.fr/handle/123456789/6515
Collections
  • LEDa : Publications
Metadata
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Author
Chevallier, Julien
Type
Article accepté pour publication ou publié
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.

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