Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS

被引：16

作者：

Angeles Carnero, M. ^{[1
]}

Olmo, Jose ^{[2
]}

Pascual, Lorenzo ^{[3
]}

机构：

[1] Univ Alicante, FAE, Alicante 03690, Spain

[2] Univ Southampton, Econ, Southampton SO17 1BJ, Hants, England

[3] NEA Newbers Energy Analyt, Madrid 28012, Spain

来源：

ENERGIES | 2018年 / 11卷 / 11期

关键词：

EU ETS; carbon price; cointegration; forecasting; permanent-transitory decomposition; COINTEGRATION; DRIVERS;

D O I：

10.3390/en11113148

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

This article studies the relationship between the prices of fuel and EU Allowances (EUA) for carbon emissions during Phase 3 of the European Union Emissions Trading System. We find that the forward prices of EUA, coal, gas and Brent oil are jointly determined in equilibrium. The existence of such a long-run relationship entails a permanent-transitory decomposition for the series of EUA and fuel prices that reveals the short- and long-term causal influence of the EUA market in shaping the joint dynamics of fuel prices. This result complements the literature that suggests that EUA prices are driven by the dynamics of fuel prices. Interestingly, we do not find an equilibrium relationship in the spot market. EUA and fuel spot prices are driven by independent unit root processes. The differences between spot and forward markets are attributed to the tradability of forward prices that are used for speculation and hedging in financial markets. In contrast, spot prices are mainly driven by supply and demand in energy markets.

引用

页数：23

共 24 条

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