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Evaluating emission trading as a policy tool : evidence from conditional jump models
Gronwald, Marc; Ketterer, Janina - 2009
This paper, first, empirically investigates European emission allowance (EUA) prices and, second, evaluates emission trading as a policy measure. Applying combined jump GARCH models yields strong evidence of conditional jump behavior. This implies that EUA prices are subject to unexpected...
Persistent link: https://www.econbiz.de/10003854402
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A new two-pillar strategy for the ECB
De Grauwe, Paul; Gros, Daniel - 2009
The ECB has been arguing in the past that since there is no trade-off between price stability and financial stability, the pursuit of price stability is the best a central bank can do to also maintain financial stability. We argue that there is a potential trade-off between price stability and...
Persistent link: https://www.econbiz.de/10003888991
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The dependence structure between carbon emission allowances and financial markets : a copula analysis
Gronwald, Marc; Ketterer, Janina; Trück, Stefan - 2011
This paper applies different copulas in order to investigate the complex dependence structure between EU emission …
Persistent link: https://www.econbiz.de/10009011778
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Self-fulfilling crises in the Eurozone : an empirical test
De Grauwe, Paul; Ji, Yuemei - 2012
Persistent link: https://www.econbiz.de/10009575314
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What moves the European carbon market? : insights from conditional jump models
Gronwald, Marc; Ketterer, Janina - 2012
This paper is concerned with carbon price volatility and the underlying causes of large price movements in the European emissions trading market. Based on the application of a combined jump-GARCH model the behavior of EUA prices is characterized. The jump-GARCH model explains the unsteady carbon...
Persistent link: https://www.econbiz.de/10009533967
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Fiscal rules, financial stability and optimal currency areas
De Grauwe, Paul; Foresti, Pasquale - 2015
In this paper we suggest that Eurozone countries face a policy trade-off among: 1) a common rule imposing co-movements in fiscal policy; 2) financial stability; and 3) financial integration. We provide empirical evidence documenting the existence of such a trade-off in the period characterized...
Persistent link: https://www.econbiz.de/10010533078
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The interest rate pass-through in the euro area during the sovereign debt crisis
Borstel, Julia von; Eickmeier, Sandra; Krippner, Leo - 2015
Persistent link: https://www.econbiz.de/10011342420
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What's in a second opinion? : shadowing the ECB and the Bank of England
Neuenkirch, Matthias; Siklos, Pierre L. - 2013
Persistent link: https://www.econbiz.de/10009788857
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Explaining the EUA-CER spread
Gronwald, Marc; Hintermann, Beat - 2016
Because of a link between the EU ETS and the Kyoto Flexible Mechanisms, the emission certificates traded on these … spread using a theoretical model that combines three features: A binding limit for the use of Kyoto offsets within the EU ETS … informational frictions governing the use of offsets within the EU ETS. …
Persistent link: https://www.econbiz.de/10011436163
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Monetary policy in EMU when the transmission is asymmetric and uncertain
De Grauwe, Paul; Sénégas, Marc-Alexandre - 2003
In this paper we address the issue of how transmission uncertainty could affect the choice between a federal monetary policy based on national data and one on aggregated data.We find that the uncertainty about the transmission process increases the need to take into account information about...
Persistent link: https://www.econbiz.de/10011506467