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dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2012-01-24T14:54:26Z
dc.date.available2012-01-24T14:54:26Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7936
dc.language.isoenen
dc.subjectCointegrationen
dc.subjectVECM with Structural Shiften
dc.subjectThreshold Cointegrationen
dc.subjectCarbon Priceen
dc.subjectSpot Priceen
dc.subjectFutures Priceen
dc.subject.ddc333en
dc.subject.classificationjelQ4en
dc.subject.classificationjelC1en
dc.titleCointegration between carbon spot and futures prices : from linear to nonlinear modelingen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper develops two nonlinear cointegration models - a VECM with structural shift and a threshold cointegration model - applied to carbon spot and futures prices. The results extend the previous findings by Chevallier (2010), who studied this topic with a linear VECM. First, in the VECM with structural shift, we observe that the returns of carbon spot and futures prices correct the deviations to the long-term equilibrium, with the futures price being the leader in the price discovery. Besides, we identify a breakpoint in July 2008, which may be related to the financial crisis and its effects on the carbon market. Second, we use Hansen and Seo's (2002) methodology, which points out the need to consider threshold cointegration models. We find strong error-correction effects for the carbon futures price. Asymmetry is implied in the sense that the carbon futures price governs most of the adjustment from the short-run to the long-run equilibrium of the model above or below the estimated threshold.en
dc.relation.isversionofjnlnameEconomics Bulletin
dc.relation.isversionofjnlvol32en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages160-181en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherEconomics Bulletinen
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


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