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The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs

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Author Info
Rotfuß, Waldemar
Conrad, Christian
Rittler, Daniel

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Abstract

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of EUA prices to the European Commission's decisions on second National Allocation Plans (NAPs) is not instantaneous, but takes up to six hours after the decision announcement. --

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Publisher Info
Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 09-045.

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Date of creation: 2009
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Handle: RePEc:zbw:zewdip:09045

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Related research
Keywords: EU ETS; price formation; European Union Allowance (EUA); European Commission;

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting
G19 - Financial Economics - - General Financial Markets - - - Other
Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics

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This page was last updated on 2009-11-27.

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