Advanced Search
MyIDEAS: Login

The impact of nonlinearities for carbon markets analyses

Contents:

Author Info

  • Julien Chevallier

Abstract

This paper examines empirically whether nonlinearities play a significant role in the modeling of the carbon price. We highlight the limits of previous carbon markets analyses based essentially on a linear econometric framework. Instead, we propose to revisit the main results on carbon pricing and the inter-relationships with energy markets and CERs based on nonlinear techniques (threshold vector autoregressive and Markov regime-switching models). While we are able to confirm most of the findings present in the literature, we show interestingly that these results seem to vary (and may even fade) depending on the regimes considered. Thereby, we illustrate the importance of including threshold effects in future studies of the relationships between CO2 and energy prices, which have been neglected so far.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.cepii.fr/IE/resumeEI.asp?NoDoc=4487
Download Restriction: no

Bibliographic Info

Article provided by CEPII research center in its journal International Economics/Economie Internationale.

Volume (Year): (2011)
Issue (Month): 126-127 ()
Pages: 131-150

as in new window
Handle: RePEc:cii:cepiei:2011-q2-3-126-127-9

Contact details of provider:
Postal: 113, rue de Grenelle, 75700 Paris SP07
Phone: 33 01 53 68 55 00
Fax: 33 01 53 68 55 01
Web page: http://www.cepii.fr
More information through EDIRC

Related research

Keywords: Carbon Prices; Energy Prices; Nonlinearity; TVAR; MSVAR;

Other versions of this item:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cii:cepiei:2011-q2-3-126-127-9. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.