Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/302747 
Year of Publication: 
2024
Citation: 
[Journal:] Naše gospodarstvo / Our Economy [ISSN:] 2385-8052 [Volume:] 70 [Issue:] 1 [Year:] 2024 [Pages:] 1-12
Publisher: 
Sciendo, Warsaw
Abstract: 
This paper aims to verify the relationship between the international markets for crude oil and carbon credits. We studied the returns of prices practiced in these markets, focusing on the transmission of shocks between oil prices and carbon credit prices. The methodological approach used financial econometrics to study these variables' risk and return relationships. Besides causality and cointegration hypothesis tests, the VECM and GARCH models were estimates. There is a short- and long-term interaction between these variables. The volatility models show a significant association between the volatilities of the two variables of interest. Fossil fuels, mainly crude oil, generate energy that has substantial restrictions. At the same time, the carbon credits market has shown significant growth that can contribute to the use of energy from fossil fuels with parsimony and responsibility. Studying these variables and their interactions contributes to understanding the importance of the carbon market.
Subjects: 
Carbon credit
Crude oil price
VECM model
Volatility model
JEL: 
C32
C58
G15
Q42
Q54
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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