IDEAS home Printed from https://ideas.repec.org/a/spr/snbeco/v5y2025i12d10.1007_s43546-025-00955-z.html
   My bibliography  Save this article

EU carbon price volatility from the COVID-19 pandemic

Author

Listed:
  • Amane Saito

    (The University of Osaka)

  • Hisashi Tanizaki

    (The University of Osaka)

Abstract

This study investigates the key factors influencing European Union Allowances (EUA) price volatility, with a particular focus on the sharp increase in prices after 2021. EUA is traded in the European Union Emissions Trading System (EU-ETS), which plays a central role in European climate policy. Understanding price dynamics is therefore critical for both market participants and policymakers. Using a stochastic volatility (SV) model, the analysis incorporates two categories of explanatory variables: market anomalies such as leverage effect and holiday effect and market structure, including trading activity and market depth. In addition, it evaluates the impacts of three recent macro-financial developments: (1) Environmental, Social and Governance (ESG) investment, (2) the COVID-19 pandemic, and (3) monetary easing by the European Central Bank (ECB). The results show that market anomalies significantly contribute to volatility. While ESG investment has a limited effect, both the pandemic and monetary easing have had substantial impacts on EUA price volatility.

Suggested Citation

  • Amane Saito & Hisashi Tanizaki, 2025. "EU carbon price volatility from the COVID-19 pandemic," SN Business & Economics, Springer, vol. 5(12), pages 1-29, December.
    • Handle: RePEc:spr:snbeco:v:5:y:2025:i:12:d:10.1007_s43546-025-00955-z
    DOI: 10.1007/s43546-025-00955-z
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s43546-025-00955-z
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s43546-025-00955-z?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • P28 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Natural Resources; Environment

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:snbeco:v:5:y:2025:i:12:d:10.1007_s43546-025-00955-z. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.