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Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals

Lutz, Benjamin Johannes; Pigorsch, Uta; Rotfuß, Waldemar - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...

Persistent link: https://www.econbiz.de/10010985650

Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals

Lutz, Benjamin Johannes; Pigorsch, Uta; Rotfuß, Waldemar - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013

Persistent link: https://www.econbiz.de/10010985685

Modeling and explaining the dynamics of European Union allowance prices at high-frequency

Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

Persistent link: https://www.econbiz.de/10008568591

The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs

Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...

Persistent link: https://www.econbiz.de/10008533676

Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis

Rotfuß, Waldemar - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures …, price formation in the EUA spot market (BlueNext) may be strongly affected by the price formation in the EUA futures market … (ICE Futures). The typical U-shaped pattern of intraday volatility, that is often observed in organized financial markets …

Persistent link: https://www.econbiz.de/10005098352

International diversification with securitized real estate and the veiling glare from currency risk

Kroencke, Tim Alexander; Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011

This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...

Persistent link: https://www.econbiz.de/10008869221

Further evidence on the (in-) efficiency of the U.S. housing market

Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...

Persistent link: https://www.econbiz.de/10008615599

International diversification benefits with foreign exchange investment styles

Kroencke, Tim Alexander; Schindler, Felix; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011

This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...

Persistent link: https://www.econbiz.de/10009003568

Size, value and liquidity: Do they really matter on an emerging stock market?

Lischewski, Judith; Voronkova, Svitlana - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010

The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in...

Persistent link: https://www.econbiz.de/10008694113

Macro expectations, aggregate uncertainty, and expected term premia

Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010

Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...

Persistent link: https://www.econbiz.de/10008694114