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Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2012

Previous literature has identified oil and gas prices as being the main drivers of CO2 prices in a univariate … correlations between the oil, gas and CO2 variables overtime. Using the Baba–Engle–Kraft–Kroner (BEKK), Constant Conditional …. Besides, we provide strong empirical evidence of time-varying correlations in the range of [−0.3; 0.3] between oil and gas …

Persistent link: https://www.econbiz.de/10011073239

European Carbon Prices Fundamentals in 2005-2007 : The Effects of Energy Markets, Temperatures and Sectorial Production

Alberola, Emilie; Chevallier, Julien; Chèze, Benoît - 2014

This article aims at characterizing the daily price fundamentals of European Union Allowances (EUAs) traded since 2005 as part of the Emissions Trading Scheme (ETS). First, the presence of two structural changes on April, 2006 following the disclosure of 2005 verified emissions and on October,...

Persistent link: https://www.econbiz.de/10014221321

Options Introduction and Volatility in the EU ETS

Chevallier, Julien - 2017

To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...

Persistent link: https://www.econbiz.de/10012976815

Understanding the Link between Aggregated Industrial Production and the Carbon Price

Chevallier, Julien - 2013

This chapter assesses the extent to which economic activity and the carbon price are linked. Carbon price drivers can be mainly related to energy and institutional variables. However, the influence of the macroeconomic environment shall not be undermined. Various approaches exist in the...

Persistent link: https://www.econbiz.de/10013079003

EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread.

Hervé-Mignucci, Morgan; Mansanet-Bataller, Maria; … - Université Paris-Dauphine - 2011

. This might be justified by the fact that the EU ETS remains the greatest source of CER demand to date. …

Persistent link: https://www.econbiz.de/10008725851

The EU Emissions Trading Scheme : Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices

Alberola, Emilie; Chevallier, Julien; Chèze, Benoît - 2014

This article critically examines the impact of industrial production for sectors covered by the EU Emissions Trading Scheme (EU ETS) on emissions allowance spot prices during Phase I (2005-2007). Using sector production indices and CO2 emissions compliance positions defined by a ratio of...

Persistent link: https://www.econbiz.de/10014218108

Price Drivers and Structural Breaks in European Carbon Prices 2005-2007

Alberola, Emilie; Chevallier, Julien; Chèze, Benoît - 2014

This article aims at characterizing the daily price fundamentals of European Union Allowances (EUAs) traded since 2005 as part of the Emissions Trading Scheme (ETS). The presence of two structural changes on April 2006 following the disclosure of 2005 verified emissions and on October 2006...

Persistent link: https://www.econbiz.de/10014219049

The EU emissions trading scheme : The effects of industrial production and CO2 emissions on carbon prices.

Alberola, Emilie; Chevallier, Julien; Chèze, Benoît - Université Paris-Dauphine - 2008

Cet article examine les impacts de la production industrielle dans les secteurs couverts par le Système d’Echange des Quotas Européens (European Union Emissions Trading Scheme, EU ETS) sur les changements de prix au comptant du CO2 durant la PhaseI(2005-2007). À partir d’indices de...

Persistent link: https://www.econbiz.de/10008504535

The EU Emissions Trading Scheme: the Effects of Industrial Production and CO2 Emissions on Carbon Prices

Alberola, Emilic; Chevallier, Julien; Cheze, Benoit - In: Economie Internationale (2008) 116, pp. 93-126

This article critically examines the impact of industrial production for sectors covered by the EU Emissions Trading Scheme (EU ETS) on emissions allowance spot prices during Phase I (2005-2007). First, sector production indices are used as a proxy of economic activity in sectors covered by the...

Persistent link: https://www.econbiz.de/10008494324

Economic Consequences of Permits Allocation Rules

Chevallier, Julien; Jouvet, Pierre-Andre; Michel, Philippe - In: Economie Internationale (2009) 120, pp. 77-90

This paper investigates the economic consequences of permits allocation rules. Following the rapid development of the Kyoto Protocol and the EU Emission Trading Scheme, it appears critical to better understand the procedure of allocation of permits between countries/firms and its distributive...

Persistent link: https://www.econbiz.de/10008472418