Carbon Credits: Who is the Leader of the Pack?
23 Pages Posted: 25 Oct 2011 Last revised: 24 Mar 2015
Date Written: July 1, 2012
Abstract
We provide the first intraday analysis on the contribution to price discovery of two emissions carbon credits: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We find that EUAs lead price discovery but CERs play a growing role and, therefore, should not be ignored.
Keywords: European Union Allowances, Certified Emission Reductions, co-integration, price-discovery, high frequency data, intraday analysis
JEL Classification: G10
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Modeling the Price Dynamics of Co2 Emission Allowances
By Eva A. Benz and Stefan Trück
-
An Econometric Analysis of Emission Trading Allowances
By Luca Taschini and Marc S. Paolella
-
Futures Price Dynamics of CO2 Emission Certificates - An Empirical Analysis
-
The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing
By Marc Chesney and Luca Taschini
-
Interaction of European Carbon Trading and Energy Prices
By Derek W. Bunn and Carlo Fezzi
-
EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry
-
Market Efficiency and Price Discovery in the EU Carbon Futures Market
By George Milunovich and Roselyne Joyeux
-
By Jinhua Zhao