Carbon Credits: Who is the Leader of the Pack?
We provide the first intraday analysis on the contribution to price discovery of two emissions carbon credits: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We find that EUAs lead price discovery but CERs play a growing role and, therefore, should not be ignored.
Volume (Year): 3 (2013)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.econjournals.com|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Garbade, Kenneth D & Silber, William L, 1979. "Dominant and Satellite Markets: A Study of Dually-Traded Securities," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 455-60, August.
- Maria Mansanet-Bataller & Ángel Pardo, 2008. "What You Should Know About Carbon Markets," Energies, MDPI, Open Access Journal, vol. 1(3), pages 120-153, December.
- Johansen, S., 1991.
"Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data,"
78, Helsinki - Department of Economics.
- Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
- Roselyne Joyeux & George Milunovich, 2010. "Testing market efficiency in the EU carbon futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(10), pages 803-809.
- Hervé-Mignucci, Morgan & Mansanet-Bataller, Maria & Chevallier, Julien & Alberola, Emilie, 2011.
"EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread,"
Economics Papers from University Paris Dauphine
123456789/5109, Paris Dauphine University.
- Mansanet-Bataller, Maria & Chevallier, Julien & Hervé-Mignucci, Morgan & Alberola, Emilie, 2011. "EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread," Energy Policy, Elsevier, vol. 39(3), pages 1056-1069, March.
- Gonzalo, J. & Granger, C., 1992.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
4, Boston University - Department of Economics.
- Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
- Chevallier, Julien, 2010.
"EUAs and CERs : Vector autoregression, impulse response function and cointegration analysis,"
Economics Papers from University Paris Dauphine
123456789/4226, Paris Dauphine University.
- Julien Chevallier, 2010. "EUAs and CERs: Vector Autoregression, Impulse Response Function and Cointegration Analysis," Economics Bulletin, AccessEcon, vol. 30(1), pages 558-576.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- repec:ebl:ecbull:v:30:y:2010:i:1:p:558-576 is not listed on IDEAS
- Fatemeh Nazifi, 2010. "The price impacts of linking the European Union Emissions Trading Scheme to the Clean Development Mechanism," Environmental Economics and Policy Studies, Society for Environmental Economics and Policy Studies - SEEPS, vol. 12(4), pages 164-186, December.
- Raphael Trotignon, 2011. "Combining cap-and-trade with offsets: Lessons from CER use in the EU ETS in 2008 and 2009," Working Papers 1103, Chaire Economie du Climat.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 563-579, December.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Mizrach, Bruce, 2012. "Integration of the global carbon markets," Energy Economics, Elsevier, vol. 34(1), pages 335-349.
When requesting a correction, please mention this item's handle: RePEc:eco:journ2:2013-03-2. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ilhan Ozturk)
If references are entirely missing, you can add them using this form.