First Evidence of Asymmetric Cost Pass-Through of EU Emissions Allowances: Examining Wholesale Electricity Prices in Germany
This paper applies the literature on asymmetric price transmission to the emerging commodity market for EU emissions allowances (EUA). We utilize an error correction model and an autoregressive distributed lag model to measure the relationship between CO2 price changes and the development of wholesale electricity prices. Using data from the German market for electricity and EUAs, we find that the rising prices of EUAs have a stronger impact on wholesale electricity prices than falling prices -- the first empirical evidence of asymmetric cost pass-through for these new allowances.
|Date of creation:||Sep 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (617) 253-3551
Fax: (617) 253-9845
Web page: http://tisiphone.mit.edu/RePEc
More information through EDIRC
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.:
- Matteo Manera & Giliola Frey, 2005.
"Econometric Models of Asymmetric Price Transmission,"
2005.100, Fondazione Eni Enrico Mattei.
- Giliola Frey & Matteo Manera, 2007. "Econometric Models Of Asymmetric Price Transmission," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 349-415, 04.
- Jochen Meyer & Stephan Cramon-Taubadel, 2004.
"Asymmetric Price Transmission: A Survey,"
Journal of Agricultural Economics,
Wiley Blackwell, vol. 55(3), pages 581-611.
- Meyer, Jochen & von Cramon-Taubadel, Stephan, 2002. "Asymmetric Price Transmission: A Survey," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24822, European Association of Agricultural Economists.
- 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.
- Jos Sijm & Karsten Neuhoff & Yihsu Chen, 2006. "CO 2 cost pass-through and windfall profits in the power sector," Climate Policy, Taylor & Francis Journals, vol. 6(1), pages 49-72, January.
- Sam Peltzman, 2000.
"Prices Rise Faster than They Fall,"
Journal of Political Economy,
University of Chicago Press, vol. 108(3), pages 466-502, June.
- Sam Peltzman, 1998. "Prices Rise Faster Than They Fall," University of Chicago - George G. Stigler Center for Study of Economy and State 142, Chicago - Center for Study of Economy and State.
- repec:tpr:qjecon:v:112:y:1997:i:1:p:305-39 is not listed on IDEAS
- Severin Borenstein & A. Colin Cameron, 1992.
"Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?,"
NBER Working Papers
4138, National Bureau of Economic Research, Inc.
- Kaufmann, Robert K. & Laskowski, Cheryl, 2005. "Causes for an asymmetric relation between the price of crude oil and refined petroleum products," Energy Policy, Elsevier, vol. 33(12), pages 1587-1596, August.
- Nathan S. Balke & Stephen P. A. Brown & Mine Yücel, 1998. "Crude oil and gasoline prices: an asymmetric relationship?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q 1, pages 2-11.
When requesting a correction, please mention this item's handle: RePEc:mee:wpaper:0710. 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: (Sharmila Ganguly)The email address of this maintainer does not seem to be valid anymore. Please ask Sharmila Ganguly to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.