Modelling the price spread between EUA and CER carbon prices

被引：41
|
作者：
Nazifi, Fatemeh [1 ]
机构：
[1] Macquarie Univ, Dept Econ, Sydney, NSW 2109, Australia
来源：
ENERGY POLICY | 2013年 / 56卷
关键词：
Price spread; EU ETS; Time-varying parameter analysis; UNIT-ROOT; TIME-SERIES; COINTEGRATION; CONVERGENCE; HYPOTHESIS; COMMODITY; LINKING; LAW;
D O I：
10.1016/j.enpol.2013.01.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper identifies factors impacting on the dynamics of the price spread between European Allowances (EUAs) and Certified Emission Reductions (CERs) by detecting changes in the structural relationship between them. While prior studies have assumed a fixed structural relationship, this paper analyses the dynamic evolution of the price spread by employing a time-varying parameter analysis using daily data from March 2008 to September 2011. The analysis reveals that a lack of competitive conditions in markets, access constraints on the use and the availability of CERs, regulatory changes regarding both EUAs and CERs, and uncertainty surrounding CERs can explain a significant portion of the price spread. (C) 2013 Elsevier Ltd. All rights reserved.
引用
收藏
页码：434 / 445
页数：12
相关论文
共 50 条
12345