Modeling persistence of carbon emission allowance prices

被引：25

作者：

Gil-Alana, Luis A. ^{[1
]}

Gupta, Rangan ^{[2
]}

de Gracia, Fernando Perez ^{[1
]}

机构：

[1] Univ Navarra, E-31080 Pamplona, Spain

[2] Univ Pretoria, ZA-0002 Pretoria, South Africa

来源：

RENEWABLE & SUSTAINABLE ENERGY REVIEWS | 2016年 / 55卷

关键词：

CO2 emission allowance prices; Fractional integration; Nonstationarity; GAUSSIAN SEMIPARAMETRIC ESTIMATION; STRUCTURAL BREAKS; LONG MEMORY; UNIT-ROOT; CO2; SPOT; DYNAMICS; NONSTATIONARY; DRIVERS;

D O I：

10.1016/j.rser.2015.10.056

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the data, with both of these aspects potentially affecting the degree of persistence. Our results indicate that, while there is no evidence of non-linearity, when allowing for structural breaks, persistence of shocks to the carbon emission allowance is markedly reduced, with the same being transitory in nature for recent sub-samples. (C) 2015 Elsevier Ltd. All rights reserved.

引用

页码：221 / 226

页数：6

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