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Energy prices and CO2 emission allowance prices: A quantile regression approach

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  • Shawkat Hammoudeh
  • Duc Khuong Nguyen
  • Ricardo M. Sousa

Abstract

We use a quantile regression framework to investigate the impact of changes in crude oil pric- es, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emis- sion allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electrici- ty prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices.

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Bibliographic Info

Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-185.

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Length: 12 pages
Date of creation: 25 Feb 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-185

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Keywords: CO2 allowance price; energy prices; quantile regression;

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