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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/57953
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| Title: | | What moves the European carbon market? Insights from conditional jump models  |
| Authors: | | Gronwald, Marc Ketterer, Janina |
| Issue Date: | | 2012 |
| Series/Report no.: | | CESifo working paper: Energy and Climate Economics 3795 |
| Abstract: | | This paper is concerned with carbon price volatility and the underlying causes of large price movements in the European emissions trading market. Based on the application of a combined jump-GARCH model the behavior of EUA prices is characterized. The jump-GARCH model explains the unsteady carbon price movement well and, moreover, shows that between 40 and 60 percent of the carbon price variance are triggered by jumps. Information regarding EUA supply and news from international carbon markets are identified as important drivers of these price spikes. These results can lead regulators the way if smoother carbon prices are desired. |
| Subjects: | | emission allowance prices GARCH jumps jump-induced variance |
| JEL: | | C22 Q50 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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