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Energy prices and CO2 emission allowance prices: A quantile regression approach

  • Shawkat Hammoudeh
  • Duc Khuong Nguyen
  • Ricardo M. Sousa

We use a quantile regression framework to investigate the impact of changes in crude oil pric- es, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emis- sion allowance prices in the United States. We find that: (i)

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-185.

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Length: 12 pages
Date of creation: 01 Jan 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-185
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  1. Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
  2. Hintermann, Beat, 2010. "Allowance price drivers in the first phase of the EU ETS," Journal of Environmental Economics and Management, Elsevier, vol. 59(1), pages 43-56, January.
  3. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
  4. Benz, Eva & Trück, Stefan, 2009. "Modeling the price dynamics of CO2 emission allowances," Energy Economics, Elsevier, vol. 31(1), pages 4-15, January.
  5. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  6. V. Chernozhukov & C. Hansen, 2013. "Quantile Models with Endogeneity," Annual Review of Economics, Annual Reviews, vol. 5(1), pages 57-81, 05.
  7. Machado, Jose A. F. & Silva, J. M. C. Santos, 2000. "Glejser's test revisited," Journal of Econometrics, Elsevier, vol. 97(1), pages 189-202, July.
  8. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec..
  9. Chevallier, Julien, 2010. "Modelling risk premia in CO2 allowances spot and futures prices," Economic Modelling, Elsevier, vol. 27(3), pages 717-729, May.
  10. repec:dau:papers:123456789/4227 is not listed on IDEAS
  11. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, December.
  12. Julien Chevallier, 2010. "A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices," Economics Bulletin, AccessEcon, vol. 30(2), pages 1564-1584.
  13. Kim, Hyun Seok & Koo, Won W., 2010. "Factors affecting the carbon allowance market in the US," Energy Policy, Elsevier, vol. 38(4), pages 1879-1884, April.
  14. Seifert, Jan & Uhrig-Homburg, Marliese & Wagner, Michael, 2008. "Dynamic behavior of CO2 spot prices," Journal of Environmental Economics and Management, Elsevier, vol. 56(2), pages 180-194, September.
  15. Mohamed El Hedi Arouri & Fredj Jawadi & Duc Khuong Nguyen, 2012. "Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS," Post-Print hal-01410551, HAL.
  16. repec:dau:papers:123456789/4237 is not listed on IDEAS
  17. repec:dau:papers:123456789/6790 is not listed on IDEAS
  18. Daskalakis, George & Psychoyios, Dimitris & Markellos, Raphael N., 2009. "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1230-1241, July.
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