Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/57953
Authors: 
Gronwald, Marc
Ketterer, Janina
Year of Publication: 
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

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