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The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs

Listed author(s):
  • Rotfuß, Waldemar
  • Conrad, Christian
  • Rittler, Daniel

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of EUA prices to the European Commission's decisions on second National Allocation Plans (NAPs) is not instantaneous, but takes up to six hours after the decision announcement.

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File URL: https://www.econstor.eu/bitstream/10419/28010/1/608694541.PDF
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Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 09-045.

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Date of creation: 2009
Handle: RePEc:zbw:zewdip:09045
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  1. Rotfuß, Waldemar, 2009. "Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis," ZEW Discussion Papers 09-018, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  2. repec:dau:papers:123456789/4210 is not listed on IDEAS
  3. Chevallier, Julien, 2009. "Carbon futures and macroeconomic risk factors: A view from the EU ETS," Energy Economics, Elsevier, vol. 31(4), pages 614-625, July.
  4. Almeida, Alvaro & Goodhart, Charles & Payne, Richard, 1998. "The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(03), pages 383-408, September.
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