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CO2 spot and futures price analysis for EEX and ECX


  • Carlos Pinho

    () (Departamento de Economia e Gestão Industrial, Universidade de Aveiro, GOVCOPP)

  • Mara Madaleno

    () (Departamento de Economia e Gestão Industrial, Universidade de Aveiro, GOVCOPP)


In this work we analyze, explore and measure two of the most important concepts for the theory of storable commodity markets. After analyzing the statistical properties of spot and futures EU ETS allowances for Germany and France, we model and test the risk premium and convenience yield for CO2 contracts accordingly to previous economic theories, for the period 2005-2009. Results indicate that convenience yields are positively related to the spot CO2 return while being negatively influenced by the spot volatility. This negative impact of spot volatility is also verified for the risk premium, with the latter varying positively with time to maturity. Contradicting previous empirical findings, we found only a positive influence of the convenience yield on the risk premium for the ECX French market and for Phase II contracts, leading us to conclude that results are Phase, market and data span dependent. Moreover, results are independent on the volatility forecast used and important for risk management purposes for allowances markets participants. Moreover, day-ahead markets for CO2 are in "normal contango" for the entire data period under analysis, contrary to previous empirical findings for the allowances market.

Suggested Citation

  • Carlos Pinho & Mara Madaleno, 2010. "CO2 spot and futures price analysis for EEX and ECX," Working Papers de Economia (Economics Working Papers) 54, Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro.
  • Handle: RePEc:ave:wpaper:542010

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    References listed on IDEAS

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    More about this item


    CO2 Emission Allowances; Volatility; Volume; Maturity; Convenience Yield; Risk Premium; Spot Prices; Futures Prices;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q51 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Valuation of Environmental Effects

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