Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/68223
Authors: 
Lutz, Benjamin Johannes
Pigorsch, Uta
Rotfuß, Waldemar
Year of Publication: 
2013
Series/Report no.: 
ZEW Discussion Papers 13-001
Abstract: 
In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over time. In particular, we are able to identify a low and a high volatility regime, both showing a strong impact of the fundamentals on the EUA price. The high volatility regime is predominant during the recession of 2008 and 2009 - a time period in which the actual emissions sharply decreased due to the economic crisis.
Subjects: 
EU ETS
EUA Price Fundamentals
Markov Regime-Switching
JEL: 
C22
C58
G13
Q50
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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