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Wavelet packet transforms analysis applied to carbon prices

Author

Listed:
  • Julien Chevallier

    (University Paris Dauphine)

Abstract

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.

Suggested Citation

  • Julien Chevallier, 2011. "Wavelet packet transforms analysis applied to carbon prices," Economics Bulletin, AccessEcon, vol. 31(2), pages 1731-1747.
    • Handle: RePEc:ebl:ecbull:eb-11-00273
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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P158.pdf
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    Citations

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    Cited by:

    1. Bangzhu Zhu & Ping Wang & Julien Chevallier & Yiming Wei, 2015. "Carbon Price Analysis Using Empirical Mode Decomposition," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 195-206, February.
    2. Zhu, Bangzhu & Yuan, Lili & Ye, Shunxin, 2019. "Examining the multi-timescales of European carbon market with grey relational analysis and empirical mode decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 392-399.
    3. Jianguo Zhou & Qiqi Wang, 2021. "Forecasting Carbon Price with Secondary Decomposition Algorithm and Optimized Extreme Learning Machine," Sustainability, MDPI, vol. 13(15), pages 1-17, July.

    More about this item

    Keywords

    Carbon Price; EUA; CER; Wavelet;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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