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dc.contributor.authorGronwald, Marcen_US
dc.contributor.authorKetterer, Janinaen_US
dc.date.accessioned2012-05-15en_US
dc.date.accessioned2012-05-21T10:06:50Z-
dc.date.available2012-05-21T10:06:50Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/57953-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper: Energy and Climate Economics 3795en_US
dc.subject.jelC22en_US
dc.subject.jelQ50en_US
dc.subject.ddc330en_US
dc.subject.keywordemission allowance pricesen_US
dc.subject.keywordGARCHen_US
dc.subject.keywordjumpsen_US
dc.subject.keywordjump-induced varianceen_US
dc.titleWhat moves the European carbon market? Insights from conditional jump modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn715725815en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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