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EU ETS, Free Allocations and Activity Level Thresholds. The devil lies in the details

Branger, Frédéric; Ponssard, Jean-Pierre; Sartor, Oliver - HAL - 2014

allocation to low-activity installations, for installations operating below the threshold, the financial gain from increasing … overallocation (by 6.6million allowances) relative to a scenario without ALTs, but an alternative output based allocation would … further reduce overallocation by 39.5million allowances (29% of total cement sector free allocation). Firms responded …

Persistent link: https://www.econbiz.de/10010935044

Modelling the convenience yield in carbon prices using daily and realized measures

Chevallier, Julien - HAL - 2010

This article investigates the modelling of the convenience yield in the European carbon market by using daily and intradaily measures of volatility. The convenience yield stems from differences in spot and futures prices, and can explain why firms hold inventories. The main findings are that (i)...

Persistent link: https://www.econbiz.de/10008793494

The European carbon market (2005-2007): banking, pricing and risk-hedging strategies

Chevallier, Julien - HAL - 2010

At the stage of international post-Kyoto negotiations, the adoption of ambitious public policies raises an increasing interest, as society has a whole is more concerned by the scale of damages and the potential irreversibility linked to climate change. The introduction of a tradable permits...

Persistent link: https://www.econbiz.de/10008793499

Les déterminants du prix du carbone sur le marché européen des quotas

Alberola, Emilie; Chevallier, Julien - HAL - 2009

L'article examine le développement du prix du carbone en Europe de 2005 à 2009 et ses fondamentaux, avant de fournir les préceptes essentiels pour les négociations de Copenhague. L'expérience unique du marché européen du CO2 éclairera les négociations sur un point majeur : la fixation...

Persistent link: https://www.econbiz.de/10008793556

The EU ETS: CO2 prices drivers during the learning experience (2005-2007)

Alberola, Emilie; Chevallier, Julien; Chèze, Benoît - HAL - 2009

This chapter identifies the main price drivers of European Union Allowances (EUAs), valid for compliance under the European Union Emissions Trading Scheme (EU ETS) created in 2005 to regulate CO2 emissions of more than 10,000 high carbon-intensive installations across Member States. Based on key...

Persistent link: https://www.econbiz.de/10008793762

Quotas allocation rules in Romania assessed by a dynamic CGE model

Loisel, Rodica - HAL - 2008

resources allocation. (6) The strong double dividend obtained under certain circumstances indicates Romania's potential for …

Persistent link: https://www.econbiz.de/10008793797

Price relationships in the EU emissions trading system

Chevallier, Julien - HAL - 2010

The Emissions Trading Scheme (ETS) constrains industrial polluters to buy/sell CO2 allowances depending on a regional depolluting objective of -8% of CO2 emissions by 2012 compared to 1990 levels. Companies may also buy carbon offsets from developing countries, funding emissions cuts there...

Persistent link: https://www.econbiz.de/10008793807

Energy Risk Management with Carbon Assets

Chevallier, Julien - HAL - 2009

This article proposes a mean-variance optimization and portfolio frontier analysis of energy risk management with carbon assets, introduced in January 2005 as part of the EU Emissions Trading Scheme. In a stylized exercise, we compute returns, standard deviations and correlations for various...

Persistent link: https://www.econbiz.de/10008793949

Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis

Chevallier, Julien - HAL - 2010

The European Union Emissions Trading Scheme (EU ETS) is the largest emissions trading scheme to date. This article summarizes the principle elements behind the trading system, and details the carbon price dynamics during Phase II (2008-2012), along with an analysis of traded volumes. The main...

Persistent link: https://www.econbiz.de/10008794076

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

Chevallier, Julien; Sévi, Benoît - HAL - 2009

The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...

Persistent link: https://www.econbiz.de/10008794324