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Wavelet packet transforms analysis applied to carbon prices

  • Julien Chevallier

    ()

    (University Paris Dauphine)

This paper deals with carbon price variations using a multi time scale decomposition based on the theory of wavelets. Our approach is based on wavelet packet transforms. This original approach enables us to identify that the periods which contribute the most to EUA spot, EUA futures, and CER futures price variations are February-April 2008, October-November 2008, and the recent 2009-2011 business cycle which correspond to major institutional uncertainties and changes in macroeconomic fundamentals. This wavelet decomposition therefore provides additional evidence on the drivers of carbon prices being institutional events and economic activity.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P158.pdf
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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 2 ()
Pages: 1731-1747

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Handle: RePEc:ebl:ecbull:eb-11-00273
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  1. Haibin Wu, 2006. "Wavelet Estimation of Time Series Regression with Long Memory Processes," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-10.
  2. Ombao, Hernando & von Sachs, Rainer & Guo, Wensheng, 2005. "SLEX Analysis of Multivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 519-531, June.
  3. Emilie Alberola & Julien Chevallier, 2009. "European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007)," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 51-80.
  4. Ombao H. C & Raz J. A & von Sachs R. & Malow B. A, 2001. "Automatic Statistical Analysis of Bivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 543-560, June.
  5. Yogo, Motohiro, 2008. "Measuring business cycles: A wavelet analysis of economic time series," Economics Letters, Elsevier, vol. 100(2), pages 208-212, August.
  6. Hernando Ombao & Jonathan Raz & Rainer von Sachs & Wensheng Guo, 2002. "The SLEX Model of a Non-Stationary Random Process," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(1), pages 171-200, March.
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