# Factors of carbon price volatility in a comparative analysis of the EUA and sCER

## Author

Listed:
• Bao-jun Tang

() (Beijing Institute of Technology
Beijing Institute of Technology)

• Pi-qin Gong

(Beijing Institute of Technology
Beijing Institute of Technology)

• Cheng Shen

(China Shipbuilding Industry Research Center)

The paper proposes three hypotheses for the factors of carbon price volatility on the basis of the existing literature, and then uses ensemble empirical model decomposition and variance ratio to analyze the carbon price volatility of the European Union emission trading system (EU ETS) and clean development mechanisms (CDM). The results show that carbon price volatility is mainly affected by the market mechanism and external environment. The frequency of the market mechanism is high, with the duration being $$## Suggested Citation • Bao-jun Tang & Pi-qin Gong & Cheng Shen, 2017. "Factors of carbon price volatility in a comparative analysis of the EUA and sCER," Annals of Operations Research, Springer, vol. 255(1), pages 157-168, August. • Handle: RePEc:spr:annopr:v:255:y:2017:i:1:d:10.1007_s10479-015-1864-y DOI: 10.1007/s10479-015-1864-y as ## Download full text from publisher File URL: http://link.springer.com/10.1007/s10479-015-1864-y File Function: Abstract Download Restriction: Access to the full text of the articles in this series is restricted. As the access to this document is restricted, you may want to search for a different version of it. ## References listed on IDEAS as 1. Cochrane, John H., 1998. "What do the VARs mean? Measuring the output effects of monetary policy," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 277-300, April. 2. Benz, Eva & Trück, Stefan, 2009. "Modeling the price dynamics of CO2 emission allowances," Energy Economics, Elsevier, vol. 31(1), pages 4-15, January. 3. Zhang, Xun & Lai, K.K. & Wang, Shou-Yang, 2008. "A new approach for crude oil price analysis based on Empirical Mode Decomposition," Energy Economics, Elsevier, vol. 30(3), pages 905-918, May. 4. Barbara Buchner & Carlo Carraro & A. Denny Ellerman, 2006. "The Allocation of European Union Allowances: Lessons, Unifying Themes and General Principles," Working Papers 0615, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research. 5. repec:dau:papers:123456789/4210 is not listed on IDEAS 6. Cong, Rong-Gang & Wei, Yi-Ming, 2010. "Potential impact of (CET) carbon emissions trading on China’s power sector: A perspective from different allowance allocation options," Energy, Elsevier, vol. 35(9), pages 3921-3931. 7. Chevallier, Julien, 2009. "Carbon futures and macroeconomic risk factors: A view from the EU ETS," Energy Economics, Elsevier, vol. 31(4), pages 614-625, July. 8. Alberola, Emilie & Chevallier, Julien & Cheze, Benoi^t, 2008. "Price drivers and structural breaks in European carbon prices 2005-2007," Energy Policy, Elsevier, vol. 36(2), pages 787-797, February. 9. Quadrelli, Roberta & Peterson, Sierra, 2007. "The energy-climate challenge: Recent trends in CO2 emissions from fuel combustion," Energy Policy, Elsevier, vol. 35(11), pages 5938-5952, November. 10. Maria Mansanet-Bataller & Angel Pardo & Enric Valor, 2007. "CO2 Prices, Energy and Weather," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 73-92. 11. Haar, Laura N. & Haar, Lawrence, 2006. "Policy-making under uncertainty: Commentary upon the European Union Emissions Trading Scheme," Energy Policy, Elsevier, vol. 34(17), pages 2615-2629, November. 12. Nanduri, Vishnu & Saavedra-Antolínez, Ivan, 2013. "A competitive Markov decision process model for the energy–water–climate change nexus," Applied Energy, Elsevier, vol. 111(C), pages 186-198. Full references (including those not matched with items on IDEAS) ## Citations Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item. as Cited by: 1. Zhang, Xi & Li, Jian, 2018. "Credit and market risks measurement in carbon financing for Chinese banks," Energy Economics, Elsevier, vol. 76(C), pages 549-557. 2. Fan, Xinghua & Li, Xuxia & Yin, Jiuli & Tian, Lixin & Liang, Jiaochen, 2019. "Similarity and heterogeneity of price dynamics across China’s regional carbon markets: A visibility graph network approach," Applied Energy, Elsevier, vol. 235(C), pages 739-746. 3. Lin, Boqiang & Jia, Zhijie, 2019. "What will China's carbon emission trading market affect with only electricity sector involvement? A CGE based study," Energy Economics, Elsevier, vol. 78(C), pages 301-311. 4. Bangzhu Zhu & Shunxin Ye & Kaijian He & Julien Chevallier & Rui Xie, 2019. "Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach," Annals of Operations Research, Springer, vol. 281(1), pages 373-395, October. 5. Julien Chevallier & Stéphane Goutte, 2017. "Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of$$\hbox {CO}_2 CO 2 and fuel-switching," Annals of Operations Research, Springer, vol. 255(1), pages 169-197, August.
6. Chang-Jing Ji & Xiao-Yi Li & Yu-Jie Hu & Xiang-Yu Wang & Bao-Jun Tang, 2019. "Research on carbon price in emissions trading scheme: a bibliometric analysis," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 99(3), pages 1381-1396, December.

### Keywords

European Union emission trading system; Clean development mechanisms; Ensemble empirical model decomposition; Variance ratio;

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