IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03676358.html
   My bibliography  Save this paper

Multivariate Analysis of a Time Series EU ETS: Methods and Applications in Carbon Finance

Author

Listed:
  • Rachid Boutti
  • El Amri Adil
  • Florence Rodhain

    (MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier)

Abstract

Climate Change (CC) is a major issue of our century. Controlling the constraints of Greenhouse Gas (GHG) emissions through transformation into opportunities (Wettestad and Skjaerseth, 2007), in an organization to increase industrial production, has become a necessity. The main reason for this adoption was the effectiveness of energy management and responsible linkages that are being developed to determine the issues and opportunities of carbon finance for organizations. This article is part of the 21st Conference of the Parties 2015 (COP21) of the United Nations Framework Convention on Climate Change (UNFCCC) in France in Paris. In this regard, it is the ultimate opportunity to present an accurate diagnosis of GHG emissions quantification and a holistic review of Climate Change (CC) recommendations. This scientific contribution was, in fact, a natural extension of the 22nd Conference of the Parties (COP22) hosted by the Kingdom of Morocco in Marrakech in 2016. Indeed, COP21 and COP22 Are two crucial deadlines, since they must lead to a new international agreement on climate, applicable to all countries, with the objective of keeping global warming below 2 ° C. This article aims to analyze and study the performance of Carbon Finance in the EU Sustainable Finance Business Emissions Trading Scheme (EU ETS). We will develop our quantitative methodology for the econometric study of the EU Emissions Trading Scheme (EU ETS) for both phases [Phase I: 2005-2007 and Phase II: 2008-2012] (Alberola, Chevallier and Cheze, 2009). The increasing complexity of Climate Change (CC) challenges creates a systemic view of EU ETS companies and a macroeconomic framework for environmental issues. In this context, we will develop our quantitative methodology adopted for the econometric study of the EU Emissions Trading Scheme (EU ETS) for the two phases of the EU ETS [Phase I: 2005-2007 and Phase II: 2008 -2012]. In the same direction, this scientific research addresses the thrilling question: "What are the responsible issues and sustainable and sustainable opportunities for the adoption of carbon finance for EU ETS companies for the development of a"2 °C?", In order to facilitate climate decision-making and to limit CO2 emissions. The real challenge is to contain the increasing complexity of Climate Change (CC) in a way that is compatible with the warming scenario limited to + 2 ° C. The development of the EU ETS is the reticular example of this turning point.

Suggested Citation

  • Rachid Boutti & El Amri Adil & Florence Rodhain, 2019. "Multivariate Analysis of a Time Series EU ETS: Methods and Applications in Carbon Finance," Post-Print hal-03676358, HAL.
    • Handle: RePEc:hal:journl:hal-03676358
    DOI: 10.21272/fmir.3(1).18-29.2019
    Note: View the original document on HAL open archive server: https://hal.science/hal-03676358
    as

    Download full text from publisher

    File URL: https://hal.science/hal-03676358/document
    Download Restriction: no
    File URL: https://libkey.io/10.21272/fmir.3(1).18-29.2019?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Alberola, Emilie & Chevallier, Julien & Chèze, Benoît, 2009. "Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial Sectors," Journal of Policy Modeling, Elsevier, vol. 31(3), pages 446-462, May.
    2. Nordhaus, William D, 1991. "To Slow or Not to Slow: The Economics of the Greenhouse Effect," Economic Journal, Royal Economic Society, vol. 101(407), pages 920-937, July.
    3. Jan Horst Keppler, 2007. "Causality and Cointegration between Energy Consumption and Economic Growth in Developing Countries," Palgrave Macmillan Books, in: Jan Horst Keppler & Régis Bourbonnais & Jacques Girod (ed.), The Econometrics of Energy Systems, chapter 4, pages 75-97, Palgrave Macmillan.
    4. Criqui, Patrick & Mima, Silvana & Viguier, Laurent, 1999. "Marginal abatement costs of CO2 emission reductions, geographical flexibility and concrete ceilings: an assessment using the POLES model," Energy Policy, Elsevier, vol. 27(10), pages 585-601, October.
    5. Gernot Klepper & Sonja Peterson, 2006. "Emissions Trading, CDM, JI, and More: The Climate Strategy of the EU," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 1-26.
    6. Julien Chevallier, 2012. "Econometric Analysis of Carbon Markets," Springer Books, Springer, number 978-94-007-2412-9, September.
    7. Schennach, Susanne M., 2000. "The Economics of Pollution Permit Banking in the Context of Title IV of the 1990 Clean Air Act Amendments," Journal of Environmental Economics and Management, Elsevier, vol. 40(3), pages 189-210, November.
    8. A. C. Christiansen & A. Arvanitakis & K. Tangen & H. Hasselknippe, 2005. "Price determinants in the EU emissions trading scheme," Climate Policy, Taylor & Francis Journals, vol. 5(1), pages 15-30, January.
    9. Junsoo Lee & Mark C. Strazicich, 2003. "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1082-1089, November.
    10. Karan Capoor & Philippe Ambrosi, "undated". "State and Trends of the Carbon Market 2007," World Bank Publications - Reports 13407, The World Bank Group.
    11. Chevallier, Julien, 2009. "Carbon futures and macroeconomic risk factors: A view from the EU ETS," Energy Economics, Elsevier, vol. 31(4), pages 614-625, July.
    12. Karan Capoor & Philippe Ambrosi, "undated". "State and Trends of the Carbon Market 2009," World Bank Publications - Reports 13403, The World Bank Group.
    13. Bunn, Derek W. & Fezzi, Carlo, 2007. "Interaction of European Carbon Trading and Energy Prices," Climate Change Modelling and Policy Working Papers 9092, Fondazione Eni Enrico Mattei (FEEM).
    14. Derek W. Bunn & Carlo Fezzi, 2007. "Interaction of European Carbon Trading and Energy Prices," Working Papers 2007.63, Fondazione Eni Enrico Mattei.
    15. repec:dau:papers:123456789/6889 is not listed on IDEAS
    16. Emilie Alberola & Julien Chevallier & Benoît Chèze, 2009. "Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial SectorsEmissions Compliances and Carbon Price," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00649925, HAL.
    17. repec:dau:papers:123456789/7450 is not listed on IDEAS
    18. repec:dau:papers:123456789/4224 is not listed on IDEAS
    19. repec:dau:papers:123456789/4222 is not listed on IDEAS
    20. Emilie Alberola & Julien Chevallier, 2009. "European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007)," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 51-80.
    21. Patrick Criqui & Laurent Viguier, 2000. "Kyoto and technology at world level: costs of CO 2 reduction under flexibility mechanisms and technical progress," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 14(1/2/3/4), pages 155-168.
    22. Springer, Urs, 2003. "The market for tradable GHG permits under the Kyoto Protocol: a survey of model studies," Energy Economics, Elsevier, vol. 25(5), pages 527-551, September.
    23. repec:wbk:wboper:13402 is not listed on IDEAS
    24. repec:dau:papers:123456789/4210 is not listed on IDEAS
    25. Barbara Buchner & Denny Ellerman, 2006. "Over-Allocation or Abatement? A Preliminary Analysis of the Eu Ets Based on the 2005 Emissions Data," Working Papers 2006.139, Fondazione Eni Enrico Mattei.
    26. Larson, Donald F. & Ambrosi, Philippe & Dinar, Ariel & Rahman, Shaikh Mahfuzur & Entler, Rebecca, 2008. "Carbon markets, institutions, policies, and research," Policy Research Working Paper Series 4761, The World Bank.
    27. A. Denny Ellerman & Juan-Pablo Montero, 2007. "The Efficiency and Robustness of Allowance Banking in the U.S. Acid Rain Program," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 47-72.
    28. repec:dau:papers:123456789/156 is not listed on IDEAS
    29. Alberola, Emilie & Chevallier, Julien & Cheze, Benoi^t, 2008. "Price drivers and structural breaks in European carbon prices 2005-2007," Energy Policy, Elsevier, vol. 36(2), pages 787-797, February.
    30. Patrick Criqui & Nikolaos Kouvaritakis, 2000. "World energy projections to 2030," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 14(1/2/3/4), pages 116-136.
    31. Maria Mansanet-Bataller & Angel Pardo & Enric Valor, 2007. "CO2 Prices, Energy and Weather," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 73-92.
    32. Julien Chevallier, 2011. "Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism," Economics Bulletin, AccessEcon, vol. 31(4), pages 1-53.
    33. Peirson, John & Henley, Andrew, 1994. "Electricity load and temperature : Issues in dynamic specification," Energy Economics, Elsevier, vol. 16(4), pages 235-243, October.
    34. Ellerman, A. Denny & Buchner, Barbara K., 2006. "Over-Allocation or Abatement? A Preliminary Analysis of the Eu Ets Based on the 2005 Emissions Data," Climate Change Modelling and Policy Working Papers 12062, Fondazione Eni Enrico Mattei (FEEM).
    35. Bokenkamp, Karl & LaFlash, Hal & Singh, Virinder & Bachrach Wang, Devra, 2005. "Hedging Carbon Risk: Protecting Customers and Shareholders from the Financial Risk Associated with Carbon Dioxide Emissions," The Electricity Journal, Elsevier, vol. 18(6), pages 11-24, July.
    36. repec:wbk:wboper:13406 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yuriy Bilan & Yaryna Samusevych & Serhiy Lyeonov & Marcin Strzelec & Iryna Tenytska, 2022. "The Keys to Clean Energy Technology: Impact of Environmental Taxes on Biofuel Production and Consumption," Energies, MDPI, vol. 15(24), pages 1-22, December.
    2. Tomasz Wołowiec & Svitlana Kolosok & Tetiana Vasylieva & Artem Artyukhov & Łukasz Skowron & Oleksandr Dluhopolskyi & Larysa Sergiienko, 2022. "Sustainable Governance, Energy Security, and Energy Losses of Europe in Turbulent Times," Energies, MDPI, vol. 15(23), pages 1-15, November.
    3. Tomasz Wołowiec & Iuliia Myroshnychenko & Ihor Vakulenko & Sylwester Bogacki & Anna Maria Wiśniewska & Svitlana Kolosok & Vitaliy Yunger, 2022. "International Impact of COVID-19 on Energy Economics and Environmental Pollution: A Scoping Review," Energies, MDPI, vol. 15(22), pages 1-26, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Adil El Amri & Rachid Boutti & Salah Oulfarsi & Florence Rodhain & Brahim Bouzahir, 2020. "Carbon financial markets underlying climate risk management, pricing and forecasting: Fundamental analysis," Post-Print hal-03120782, HAL.
    2. Julien Chevallier, 2013. "Carbon trading: past, present and future," Chapters, in: Roger Fouquet (ed.), Handbook on Energy and Climate Change, chapter 21, pages 471-489, Edward Elgar Publishing.
    3. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options Introduction and Volatility in the EU ETS," Working Papers halshs-00405709, HAL.
    4. Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît, 2011. "Options introduction and volatility in the EU ETS," Resource and Energy Economics, Elsevier, vol. 33(4), pages 855-880.
    5. Gary Koop & Lise Tole, 2013. "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 723-741, June.
    6. Zhang, Yue-Jun & Wei, Yi-Ming, 2010. "An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect," Applied Energy, Elsevier, vol. 87(6), pages 1804-1814, June.
    7. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
    8. Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos, 2017. "Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece," Papers 1708.07063, arXiv.org.
    9. Boersen, Arieke & Scholtens, Bert, 2014. "The relationship between European electricity markets and emission allowance futures prices in phase II of the EU (European Union) emission trading scheme," Energy, Elsevier, vol. 74(C), pages 585-594.
    10. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," Working Papers hal-04140857, HAL.
    11. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022. "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, vol. 114(C).
    12. Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
    13. Chang-Yi Li & Son-Nan Chen & Shih-Kuei Lin, 2016. "Pricing derivatives with modeling CO emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium," The European Journal of Finance, Taylor & Francis Journals, vol. 22(10), pages 887-908, August.
    14. Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sousa, Ricardo M., 2014. "What explain the short-term dynamics of the prices of CO2 emissions?," Energy Economics, Elsevier, vol. 46(C), pages 122-135.
    15. 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.
    16. Nicolas Koch, 2014. "Dynamic linkages among carbon, energy and financial markets: a smooth transition approach," Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 715-729, March.
    17. Crossland, Jarrod & Li, Bin & Roca, Eduardo, 2013. "Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies," Applied Energy, Elsevier, vol. 109(C), pages 10-23.
    18. Julien Chevallier & Stéphane Goutte, 2017. "Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching," Annals of Operations Research, Springer, vol. 255(1), pages 169-197, August.
    19. Dorota Ciesielska-Maciągowska & Dawid Klimczak & Małgorzata Skrzek-Lubasińska, 2021. "Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies," Energies, MDPI, vol. 14(4), pages 1-14, February.
    20. Feng, Zhen-Hua & Wei, Yi-Ming & Wang, Kai, 2012. "Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS," Applied Energy, Elsevier, vol. 99(C), pages 97-108.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03676358. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.