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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

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

Chevallier, Julien; Alberola, Emilie; Chèze, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2008

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 dened by a ratio of allowance...

Persistent link: https://www.econbiz.de/10005404307

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

Chevallier, Julien; Alberola, Emilie - Université Paris-Dauphine (Paris IX) - 2009

The article investigates the development of carbon prices in Europe from 2005 to 2009 and its drivers, before providing the essential precepts for the Copenhagen negotiations. The experience of the European carbon market will highlight negotiations on a major issue: the carbon pricing....

Persistent link: https://www.econbiz.de/10011166415

Emissions Trading: What Makes It Work?

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2009

The purpose of this paper is to critically discuss the main advantages of introducing environmental regulation tools such as tradable permits markets. Current climate policies, the negotiations under way at the international level, and past experiences with emissions trading in the USA and...

Persistent link: https://www.econbiz.de/10011124184

Etudes économétriques récentes réalisées à partir des données de la CFTC

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

Cet article propose une revue des études économétriques récentes ayant fait usage des statistiques désagrégées de la Commodity Futures Trading Commission (CFTC) aux Etats-Unis concernant les positions ouvertes sur les marchés dérivés du pétrole par type d'acteur. La distinction plus...

Persistent link: https://www.econbiz.de/10011073063

Economic Consequences of Permits Allocation Rules

Chevallier, Julien; Jouvet, Pierre-André; Michel, Philippe - Université Paris-Dauphine (Paris IX) - 2009

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/10011073843

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

Options introduction and volatility in the EU ETS

Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

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/10008479209

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