This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures market. First, price formation seems to take place on...

This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures market. First, price formation seems to take place on...

In this paper we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact...

We analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. Due to the characteristics of the price process, such as volatility persistence, breaks in...

This paper argues that there are inherent trade-offs in energy policy objectives that pose frictions to the establishment of a new technology base. We ask how institutions in an evolving electricity system can be designed to best achieve policy targets that are partly conflicting. In particular,...

This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures market. First, price formation seems to take place on...

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of international financial integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels...

In a sharp departure from earlier trends, the price of U.S. imports from China rose 6 percent in the 2006-08 period. To explore the forces behind this surprising increase, the authors create a new import index that uses highly disaggregated data to track price developments in different product...

This paper presents general approach to description of business cycles aggregate fluctuations of economic and financial variables. We model economics as ensemble of agents on economic space and agent's risk ratings play role of their coordinates. Aggregation of variables of agents with...

Bayesian model averaging is applied to robustly ascertain the determinants of various output volatility measures, including the downside semi-deviation of growth rates. Financial sophistication variables are found to have qualitatively different effects on volatility. The ratio of government...