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

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Abstract

We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electricity prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices.

Suggested Citation

  • Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Energy prices and CO2 emission allowance prices: A quantile regression approach," NIPE Working Papers 06/2014, NIPE - Universidade do Minho.
    • Handle: RePEc:nip:nipewp:06/2014
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    References listed on IDEAS

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    More about this item

    Keywords

    CO2 allowance price; energy prices; quantile regression.Creation-Date: 2014;
    All these keywords.

    JEL classification:

    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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