全球智库信息集成服务系统(G2TT): Flexibility in the Market for International Carbon Credits and Price Dynamics Difference with European Allowances

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Flexibility in the Market for International Carbon Credits and Price Dynamics Difference with European Allowances
	Claire Gavard; Djamel Kirat
发表日期	2015
出处	Climate Change and Sustainable Development
出版年	2015
语种	英语
摘要	We analyze the price dynamics of European allowances and international carbon credits in the second phase of the European carbon market. We develop and use a model combining fundamental drivers associated with the demand for quotas by installations and risk-return considerations related to the financial nature of carbon permits. We estimate it with autoregressive conditional heteroskedasticity models. Although carbon permits present some characteristics of financial assets, we find that an increased volatility is not associated with an increased return. The price of allowances and credits are explained by similar factors. However, whereas the corresponding returns present comparable dynamics, the long-term relationships between the price of these two types of permits and their drivers differ significantly. While the price of allowances is demand-driven, we suggest the existence of a supply-side effect for credits, and explain it by the flexibility in the related market. The impact of the European economic activity is less visible on credits than on allowances. The price elasticity of allowances with regards to the coal and gas prices is negative in time periods of low economic activity while it is positive in the rest of the time. We suggest an explanation for this dynamics difference. *** Suggested citation: Gavard, C., D. Kirat, (2015), 'Flexibility in the Market for International Carbon Credits and Price. Dynamics Difference with European Allowances', Nota di Lavoro 3.2015, Milan, Italy: Fondazione Eni Enrico Mattei.
特色分类	C32;C58;Q48;Q54;Q58
关键词	European Allowances International Credits Emissions Trading Power Sector Time Series Analysis
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/flexibility-in-the-market-for-international-carbon-credits-and-price-dynamics-difference-with-european-allowances/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118358
推荐引用方式 GB/T 7714	Claire Gavard,Djamel Kirat. Flexibility in the Market for International Carbon Credits and Price Dynamics Difference with European Allowances. 2015.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
20151261020171Nota_d（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
20151261020274NDL201（608KB）	智库出版物		限制开放	CC BY-NC-SA	浏览