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An empirical analysis of energy cost pass-through to CO2 emission prices

Author

Listed:
  • Hammoudeh, Shawkat
  • Lahiani, Amine
  • Nguyen, Duc Khuong
  • Sousa, Ricardo M.

Abstract

We use the nonlinear autoregressive distributed lag (NARDL) model to analyze the asymmetric and nonlinear pass-through effects of changes in crude oil prices, natural gas prices, coal prices and electricity prices on the CO2 emission allowance prices. We find that: (i) the crude oil prices have a long-run negative and asymmetric effect on the CO2 allowance prices; (ii) the decreases in the coal prices have a stronger impact on the carbon prices in the short-run than the increases; (iii) the natural gas prices and electricity prices have a symmetric effect on the carbon prices, but this effect is negative for the former and positive for the latter. These findings are robust when using both monthly and daily data and when considering bivariate and multivariate models.

Suggested Citation

  • Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong & Sousa, Ricardo M., 2015. "An empirical analysis of energy cost pass-through to CO2 emission prices," Energy Economics, Elsevier, vol. 49(C), pages 149-156.
  • Handle: RePEc:eee:eneeco:v:49:y:2015:i:c:p:149-156
    DOI: 10.1016/j.eneco.2015.02.013
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:energy:v:125:y:2017:i:c:p:223-233 is not listed on IDEAS
    2. Wen, Xiaoqian & Bouri, Elie & Roubaud, David, 2017. "Can energy commodity futures add to the value of carbon assets?," Economic Modelling, Elsevier, vol. 62(C), pages 194-206.
    3. Yu, Lean & Li, Jingjing & Tang, Ling & Wang, Shuai, 2015. "Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach," Energy Economics, Elsevier, vol. 51(C), pages 300-311.
    4. repec:eee:enepol:v:106:y:2017:i:c:p:111-121 is not listed on IDEAS
    5. repec:spr:annopr:v:255:y:2017:i:1:d:10.1007_s10479-015-1967-5 is not listed on IDEAS
    6. repec:eee:eneeco:v:71:y:2018:i:c:p:35-46 is not listed on IDEAS
    7. repec:eee:energy:v:149:y:2018:i:c:p:24-33 is not listed on IDEAS

    More about this item

    Keywords

    CO2 allowance price; Energy prices; NARDL model; Asymmetric pass-through;

    JEL classification:

    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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