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 … shock to the prices of the fuel of choice, coal, has virtually no significant impact on the CO2 prices; (iv) there is a … clear positive effect of the coal prices on the CO2 prices when the electricity prices are excluded from the VAR system; and …