Carbon Price Drivers: Phase I versus Phase II Equilibrium?

Anna Creti (), Pierre-André Jouvet and Valérie Mignon ()
Additional contact information
Anna Creti: EconomiX-CNRS, University of Paris Ouest, and Ecole Polytechnique,

Working Papers from Chaire Economie du climat

Abstract: The aim of this paper is to investigate the determinants of the carbon price during the two phases of the European Union Emission Trading Scheme (EU ETS). More specifically, relying on daily EU allowance futures contracts, we test whether the carbon price drivers identified for Phase I still hold for Phase II and evolve toward a long-run relationship. Using cointegration techniques and accounting for the 2006 structural break on the carbon market, we show that while a cointegrating relationship exists for both phases of the EU ETS, the nature of this equilibrium relationship is different across the two subperiods, with an increasing role of fundamentals in Phase II. Deriving equilibrium values, we show that the carbon price tends to be undervalued since the end of 2009.

Keywords: EU ETS; carbon price; energy prices; cointegration. (search for similar items in EconPapers)
JEL-codes: C22 Q4 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2011-06
New Economics Papers: this item is included in nep-ene, nep-env and nep-eur
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.chaireeconomieduclimat.org/RePEc/cec/wp ... ti_Jouvet_Mignon.pdf First version, 2011 (application/pdf)

Related works:
Journal Article: Carbon price drivers: Phase I versus Phase II equilibrium? (2012)
Working Paper: Carbon Price Drivers: Phase I versus Phase II Equilibrium? (2012)
Working Paper: Carbon Price Drivers: Phase I Versus Phase II Equilibrium? (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cec:wpaper:1106

Access Statistics for this paper

More papers in Working Papers from Chaire Economie du climat
Bibliographic data for series maintained by Chaire Economie du Climat ().