Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M. - Institut de Préparation à l'Administration et à la … - 2014
the vector error-correction Models (VECM). The data are monthly for the prices of oil, coal, natural gas, electricity and … clear positive effect of the coal prices on the CO2 prices when the electricity prices are excluded from the VAR system; and … (v) a positive shock to the electricity prices reduces the price of the CO2 allowances. We also find that the energy …