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...

Previous literature has identified oil and gas prices as being the main drivers of CO2 prices in a univariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) econometric framework (Alberola et al., 2008; Oberndorfer, 2009). By contrast, we argue in this article that the...

Finance carbone, fiscalité carbone, réglementation : aujourd'hui tous les instruments économiques sont mobilisés pour financer la lutte contre le changement climatique. D'après le GIEC, la température moyenne mondiale a augmenté d'environ 1°C sur un siècle, et s'est accélérée lors...

This article assesses the transmission of international shocks to EUA spot, EUA futures, and CER futures carbon prices using a broad dataset that includes 115 macroeconomic, financial and commodities indicators with daily frequency from April 4, 2008 to January 25, 2010 totalling 463...

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...

This article examines the empirical relationship between the returns on carbon futures – a new class of commodity assets traded since 2005 on the European Union Emissions Trading Scheme (EU ETS) – and changes in macroeconomic conditions. By using variables which possess forecast power for...

This article proposes an econometric analysis of the demand for mobility in the aviation sector. The role played by different variables (GDP, jet-fuel prices, exogenous shocks, market maturity) on air traffic is estimated using dynamic panel-data modeling. GDP appears to have a positive...

The estimation of the jump component in asset pricing has witnessed a considerably growing body of literature. Of particular interest is the decomposition of total volatility between its continuous and jump components. Recent contributions highlight the importance of the jump component in...

This article provides economic and statistical tools to analyze oil derivatives markets, and more especially the “peak” in prices recorded in July-August 2008. The main explanations of the literature are summarized, by emphasizing current trends. Overall, this article highlights a new...

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....