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Carbon Credits: Who is the Leader of the Pack?

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Author Info

  • Vicente Medina

    (University of Valencia, Spain)

  • Angel Pardo

    (Corresponding author, University of Valencia, Departamento de Economía Financiera y Actuarial, Facultad de Economía, Valencia, Spain)

  • Roberto Pascual

    (University of the Balearic Islands, Spain)

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    Abstract

    We provide the first intraday analysis on the contribution to price discovery of two emissions carbon credits: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We find that EUAs lead price discovery but CERs play a growing role and, therefore, should not be ignored.

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    File URL: http://www.econjournals.com/index.php/ijeep/article/download/481/276
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    Bibliographic Info

    Article provided by Econjournals in its journal International Journal of Energy Economics and Policy.

    Volume (Year): 3 (2013)
    Issue (Month): 3 ()
    Pages: 210-220

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    Handle: RePEc:eco:journ2:2013-03-2

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    Web page: http://www.econjournals.com

    Related research

    Keywords: European Union Allowances; Certified Emission Reductions; co-integration; pricediscovery; high frequency data; intraday analysis;

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    References

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    1. Fatemeh Nazifi, 2010. "The price impacts of linking the European Union Emissions Trading Scheme to the Clean Development Mechanism," Environmental Economics and Policy Studies, Society for Environmental Economics and Policy Studies - SEEPS, vol. 12(4), pages 164-186, December.
    2. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    3. Raphael Trotignon, 2011. "Combining cap-and-trade with offsets: Lessons from CER use in the EU ETS in 2008 and 2009," Working Papers 1103, Chaire Economie du Climat.
    4. Johansen, S., 1991. "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data," Papers 78, Helsinki - Department of Economics.
    5. Garbade, Kenneth D & Silber, William L, 1979. "Dominant and Satellite Markets: A Study of Dually-Traded Securities," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 455-60, August.
    6. Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
    7. deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 563-579, December.
    8. Mansanet-Bataller, Maria & Chevallier, Julien & Hervé-Mignucci, Morgan & Alberola, Emilie, 2011. "EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread," Energy Policy, Elsevier, vol. 39(3), pages 1056-1069, March.
    9. Mizrach, Bruce, 2012. "Integration of the global carbon markets," Energy Economics, Elsevier, vol. 34(1), pages 335-349.
    10. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    11. repec:ebl:ecbull:v:30:y:2010:i:1:p:558-576 is not listed on IDEAS
    12. Roselyne Joyeux & George Milunovich, 2010. "Testing market efficiency in the EU carbon futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(10), pages 803-809.
    13. Maria Mansanet-Bataller & Ángel Pardo, 2008. "What You Should Know About Carbon Markets," Energies, MDPI, Open Access Journal, vol. 1(3), pages 120-153, December.
    14. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    15. Julien Chevallier, 2010. "EUAs and CERs: Vector Autoregression, Impulse Response Function and Cointegration Analysis," Economics Bulletin, AccessEcon, vol. 30(1), pages 558-576.
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    Citations

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    Cited by:
    1. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.

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