Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/57953 
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dc.contributor.authorGronwald, Marcen
dc.contributor.authorKetterer, Janinaen
dc.date.accessioned2012-05-15-
dc.date.accessioned2012-05-21T10:06:50Z-
dc.date.available2012-05-21T10:06:50Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3795en
dc.subject.jelC22en
dc.subject.jelQ50en
dc.subject.ddc330en
dc.subject.keywordemission allowance pricesen
dc.subject.keywordGARCHen
dc.subject.keywordjumpsen
dc.subject.keywordjump-induced varianceen
dc.titleWhat moves the European carbon market? Insights from conditional jump models-
dc.typeWorking Paperen
dc.identifier.ppn715725815en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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