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

Author

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  • Rotfuß, Waldemar
  • Conrad, Christian
  • Rittler, Daniel

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.

Suggested Citation

  • Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel, 2009. "The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs," ZEW Discussion Papers 09-045, ZEW - Leibniz Centre for European Economic Research.
    • Handle: RePEc:zbw:zewdip:09045
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    References listed on IDEAS

    as
    1. 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.
    2. Almeida, Alvaro & Goodhart, Charles & Payne, Richard, 1998. "The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(3), pages 383-408, September.
    3. repec:dau:papers:123456789/4222 is not listed on IDEAS
    4. Rotfuß, Waldemar, 2009. "Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis," ZEW Discussion Papers 09-018, ZEW - Leibniz Centre for European Economic Research.
    5. repec:dau:papers:123456789/4210 is not listed on IDEAS
    6. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Mallika Chawla & Michael G. Pollitt, 2012. "Energy-efficiency and environmental policies & income supplements in the UK: Their evolution and distributional impact in relation to domestic energy bills," Working Papers EPRG 1227, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
    2. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012. "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, vol. 34(1), pages 316-326.
    3. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.
    4. Mallika Chawla & Michael G. Pollitt, 2013. "Energy-efficiency and Environmental Policies & Income Supplements in the UK: Evolution and Distributional Impacts on Domestic Energy Bills," Economics of Energy & Environmental Policy, International Association for Energy Economics, vol. 0(Number 1).

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    More about this item

    Keywords

    EU ETS; price formation; European Union Allowance (EUA); European Commission;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • 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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