ETS Markets and Electricity Futures Prices
2011; RELX Group (Netherlands); Linguagem: Inglês
10.2139/ssrn.1808124
ISSN1556-5068
Autores Tópico(s)Market Dynamics and Volatility
ResumoThis paper addresses the economic impact of the carbon allowance market in the European Emission Trading Scheme (ETS) on the futures market of electricity, gas, and coal. Our findings seem to confirm that, as expected, electricity returns are positively affected by carbon allowances, coal, and natural gas returns. Additionally, a SVAR model with short-run restrictions and two lags shows that lagged returns of allowances affect current returns of allowances and energy futures prices. Finally, an impulse-response analysis seems to corroborate that electricity futures returns suffer the consequences from shocks on the allowances returns.
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