IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Electricity, carbon and weather in France: where do we stand ?

  • Sophie Chemarin

    ()

    (Department of Economics, Ecole Polytechnique - CNRS : UMR7176 - Polytechnique - X)

  • Andreas Heinen

    (Departamento de Estadistica y Econometria - Universidad Carlos III , Madrid, Spain)

  • Eric Strobl

    (Department of Economics, Ecole Polytechnique - CNRS : UMR7176 - Polytechnique - X)

As a tool to fight long run changes in climate the European Union explicitly introduced the emission trading scheme (EU ETS) on January 1, 2005, which aimed at reducing carbon emission by 8% by 2012, and was designed to operate in two phases. Using data related to the first phase, this article investigates the role that the EU ETS plays in the power generation market by taking into account the existence of possible cross-spillovers between the French carbon and the French electricity spot markets, the spot prices of natural gas and of oil, and climatic conditions in France and elsewhere. Results show that there is no short run relationship between the electricity and carbon returns, while there is a long run relationship. However, this relationship suffers from a disequilibrium in that the electricity price readjust in the long run. We also find that while there are own mean and own volatility spillovers in the two markets, there are no cross own mean and own volatility spillovers, indicating that the electricity spot market and the carbon spot market are not integrated. Finally, results underline the limited impact of weather on the interconnection of these markets.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hal.archives-ouvertes.fr/docs/00/34/01/71/PDF/cahier_de_recherche_2008-04.pdf
Download Restriction: no

Paper provided by HAL in its series Working Papers with number hal-00340171.

as
in new window

Length:
Date of creation: Jun 2008
Date of revision:
Handle: RePEc:hal:wpaper:hal-00340171
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00340171/en/
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Byström, Hans, 2001. "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers 2001:19, Lund University, Department of Economics.
  2. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Sijm, J. & Neuhoff, K. & Chen, Y., 2006. "CO2 cost pass through and windfall profits in the power sector," Cambridge Working Papers in Economics 0639, Faculty of Economics, University of Cambridge.
  4. De Vany, Arthur S. & Walls, W. David, 1999. "Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US," Energy Economics, Elsevier, vol. 21(5), pages 435-448, October.
  5. Considine, Timothy J., 2000. "The impacts of weather variations on energy demand and carbon emissions," Resource and Energy Economics, Elsevier, vol. 22(4), pages 295-314, October.
  6. Worthington, Andrew & Kay-Spratley, Adam & Higgs, Helen, 2005. "Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis," Energy Economics, Elsevier, vol. 27(2), pages 337-350, March.
  7. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
  8. Tse, Y K & Tsui, Albert K C, 2002. "A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 351-62, July.
  9. Pardo, Angel & Meneu, Vicente & Valor, Enric, 2002. "Temperature and seasonality influences on Spanish electricity load," Energy Economics, Elsevier, vol. 24(1), pages 55-70, January.
  10. Damien Demailly & Philippe Quirion, 2006. "CO2 abatement, competitiveness and leakage in the European cement industry under the EU ETS: Grandfathering vs. output-based allocation," Post-Print halshs-00639327, HAL.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00340171. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.