Show simple item record

dc.contributor.authorChevallier, Julien
dc.date.accessioned2011-09-16T13:01:47Z
dc.date.available2011-09-16T13:01:47Z
dc.date.issued2011-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6969
dc.language.isoenen
dc.subjectEnergy pricesen
dc.subjectEconomic activityen
dc.subjectCarbon priceen
dc.subjectMarkov-switching modelen
dc.subject.ddc333en
dc.subject.classificationjelQ54en
dc.subject.classificationjelQ43en
dc.subject.classificationjelE32en
dc.subject.classificationjelE23en
dc.subject.classificationjelC32en
dc.titleA model of carbon price interactions with macroeconomic and energy dynamicsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenhis paper develops a model of carbon pricing by considering two fundamental drivers of European Union Allowances : economic activity and energy prices. On the one hand, economic activity is proxied by aggregated industrial production in the EU 27 (as it provides the best performance in a preliminary forecasting exercise vs. other indicators). On the other hand, brent, natural gas and coal prices are selected as being the main carbon price drivers (as highlighted by previous literature). The interactions between the macroeconomic and energy spheres are captured in a Markov-switching VAR model with two states that is able to reproduce the ‘boom–bust’ business cycle (Hamilton (1989)). First, industrial production is found to impact positively (negatively) the carbon market during periods of economic expansion (recession), thereby confirming the existence of a link between the macroeconomy and the price of carbon. Second, the brent price is confirmed to be the leader in price formation among energy markets (Bachmeier and Griffin (2006)), as it impacts other variables through the structure of the Markov-switching model. Taken together, these results uncover new interactions between the recently created EU emissions market and the pre-existing macroeconomic/energy environment.en
dc.relation.isversionofjnlnameEnergy Economics
dc.relation.isversionofjnlvol33
dc.relation.isversionofjnlissue6
dc.relation.isversionofjnldate2011-11
dc.relation.isversionofjnlpages1295–1312en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.eneco.2011.07.012en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record