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Analyse temps-fréquence du co-mouvement entre le marché européen du CO2 et les autres marchés de l'énergie

Author

Listed:
  • Ange Nsouadi
  • Jules Sadefo Kamdem
  • Michel Terraza

Abstract

Depuis l'entrée en vigueur en 2005 du système communautaire d'échange de quotas d’émission Européen (SCEQE), la mise en place d'un prix sur les quotas carbone a permis aux différents industrièls de prendre conscience de l'impact de leurs émissions sur l'environnement et sur la biodiversité. Plusieurs études ont été réalisées sur le fonctionnement de ce marché et sur son interdépendance avec les marchés de l'énergie sans cependant mettre l'accent sur l'analyse de la transmission de la volatilité entre ces marchés selon les différents horizons d'investissement des agents (court, moyen et long terme). Pour étudier ces cas nous faisons appel à l'approche de la cohérence en ondelettes qui permet de mesurer les corrélations dynamiques dans le domaine temps fréquences et évaluer leur co-variation. Les résultats obtenus montrent l'existence d’une corrélation positive et stable au cours du temps sur les [...]

Suggested Citation

  • Ange Nsouadi & Jules Sadefo Kamdem & Michel Terraza, 2015. "Analyse temps-fréquence du co-mouvement entre le marché européen du CO2 et les autres marchés de l'énergie," Working Papers 15-08, LAMETA, Universtiy of Montpellier, revised May 2015.
    • Handle: RePEc:lam:wpaper:15-08
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