First Evidence of Asymmetric Cost Pass-through of EU Emissions Allowances: Examining Wholesale Electricity Prices in Germany
AbstractThis paper applies the literature on asymmetric price transmission to the emerging commodity market for EU emissions allowances (EUA). We utilize an error correction model and an autoregressive distributed lag model to measure the relationship between CO2 price changes and the development of wholesale electricity prices. Using data from the German market for electricity and EUAs, we find that the rising prices of EUAs have a stronger impact on wholesale electricity prices than falling prices -- the first empirical evidence of asymmetric cost passthrough for these new allowances.
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Bibliographic InfoPaper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 708.
Length: 8 p.
Date of creation: 2007
Date of revision:
Publication status: Published in: economics letters 99 (2008), 465-469
Other versions of this item:
- Zachmann, Georg & von Hirschhausen, Christian, 2008. "First evidence of asymmetric cost pass-through of EU emissions allowances: Examining wholesale electricity prices in Germany," Economics Letters, Elsevier, vol. 99(3), pages 465-469, June.
- Georg Zachmann & Christian von Hirschhausen, 2007. "First Evidence of Asymmetric Cost Pass-Through of EU Emissions Allowances: Examining Wholesale Electricity Prices in Germany," Working Papers 0710, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
- NEP-ALL-2007-08-08 (All new papers)
- NEP-EEC-2007-08-08 (European Economics)
- NEP-ENE-2007-08-08 (Energy Economics)
- NEP-ENV-2007-08-08 (Environmental Economics)
- NEP-IND-2007-08-08 (Industrial Organization)
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