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Missing trader fraud on the emissions market

Author

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  • Marius-Cristian Frunza

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Sagacarbon - Subsidiary of Caisse des Dépôts et Consignations)

  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Fabrice Thiebaut

    (Sagacarbon - Subsidiary of Caisse des Dépôts et Consignations)

Abstract

The aim of this paper is to show evidence and to quantify with forensic econometric methods the impact of the missing trader fraud on European carbon allowances markets. This fraud occurred mainly between the end of 2008 and the beginning of 2009. In this paper, we explore the financial mechanisms of the fraud and the impact on the market behaviour as well as the consequences on its econometric features.

Suggested Citation

  • Marius-Cristian Frunza & Dominique Guegan & Fabrice Thiebaut, 2010. "Missing trader fraud on the emissions market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00523512, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00523512
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00523512
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    References listed on IDEAS

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    1. Dominique Guegan & Marius-Cristian Frunza & Antonin Lassoudière, 2010. "Forecasting Strategies for Carbon Allowances Prices: From Classic Arbitrage Pricing Theory to Switching Regimes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00645890, HAL.
    2. Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00505145, HAL.
    3. Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes," Post-Print halshs-00505145, HAL.
    4. Chang Woon Nam & Rüdiger Parsche & Barbara Schaden, 2001. "Measurement of Value Added Tax Evasion in Selected EU Countries on the Basis of National Accounts Data," CESifo Working Paper Series 431, CESifo.
    5. Dominique Guegan & Marius-Cristian Frunza & Antonin Lassoudière, 2010. "Forecasting Strategies for Carbon Allowances Prices: From Classic Arbitrage Pricing Theory to Switching Regimes," PSE-Ecole d'économie de Paris (Postprint) halshs-00645890, HAL.
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    Cited by:

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    2. Fabrizio Borselli, 2011. "Organised VAT fraud: features, magnitude, policy perspectives," Questioni di Economia e Finanza (Occasional Papers) 106, Bank of Italy, Economic Research and International Relations Area.
    3. Richard G. Newell & William A. Pizer & Daniel Raimi, 2014. "Carbon Markets: Past, Present, and Future," Annual Review of Resource Economics, Annual Reviews, vol. 6(1), pages 191-215, October.
    4. Richard G. Newell & William A. Pizer & Daniel Raimi, 2013. "Carbon Markets 15 Years after Kyoto: Lessons Learned, New Challenges," Journal of Economic Perspectives, American Economic Association, vol. 27(1), pages 123-146, Winter.
    5. Gary Koop & Lise Tole, 2013. "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 723-741, June.
    6. Borghesi, Simone & Cainelli, Giulio & Mazzanti, Massimiliano, 2015. "Linking emission trading to environmental innovation: Evidence from the Italian manufacturing industry," Research Policy, Elsevier, vol. 44(3), pages 669-683.

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