Dynamic linkages among European carbon markets
A number of studies have tested for cointegration between spot and futures prices in the European carbon markets. These studies tend to focus on the price discovery role of futures versus spot prices. In this paper, we draw the attention to the short- and long-run dynamic linkages among distinct European carbon markets by investigating the interdependence and the transmission efficiency between European Climate Exchange (ECX), Nordic Power Exchange (NordPool) and European Energy Exchange (EEX). To this end, we test for cointegration between European Union carbon allowances (EUAs) futures prices and also, we conduct causality tests to examine spillover dynamics. Our findings indicate that the markets exhibit a reasonable degree of efficiency in both short- and long-run.
Volume (Year): 29 (2009)
Issue (Month): 2 ()
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