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Missing trader fraud on the emissions market

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Abstract

The aim of this paper is to show evidence and to quantify with forensic econometric methods the impact of the missing trader fraud on European carbon allowances markets. This fraud occurred mainly between the end of 2008 and the beginning of 2009. In this paper, we explore the financial mechanisms of the fraud and the impact on the market behaviour as well as the consequences on its econometric features.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2010/10071.pdf
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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 10071.

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Length: 15 pages
Date of creation: Aug 2010
Date of revision:
Handle: RePEc:mse:cesdoc:10071

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Keywords: COE; Econometrie; fraud.;

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  1. repec:hal:cesptp:halshs-00505145 is not listed on IDEAS
  2. Chang Woon Nam & Rüdiger Parsche & Barbara Schaden, 2001. "Measurement of Value Added Tax Evasion in Selected EU Countries on the Basis of National Accounts Data," CESifo Working Paper Series 431, CESifo Group Munich.
  3. Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices : From classic Arbitrage Pricing Theory to Switching Regimes," Documents de travail du Centre d'Economie de la Sorbonne 10062, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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Cited by:
  1. Koop, Gary & Tole, Lise, 2011. "Forecasting the European Carbon Market," SIRE Discussion Papers 2011-20, Scottish Institute for Research in Economics (SIRE).
  2. Newell, Richard G. & Pizer, William A. & Raimi, Daniel, 2012. "Carbon Markets: Past, Present, and Future," Discussion Papers dp-12-51, Resources For the Future.
  3. Fabrizio Borselli, 2011. "Organised VAT fraud: features, magnitude, policy perspectives," Questioni di Economia e Finanza (Occasional Papers) 106, Bank of Italy, Economic Research and International Relations Area.
  4. Richard G. Newell & William A. Pizer & Daniel Raimi, 2013. "Carbon Markets 15 Years after Kyoto: Lessons Learned, New Challenges," Journal of Economic Perspectives, American Economic Association, vol. 27(1), pages 123-46, Winter.

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