A Comparison of Reduced-Form Permit Price Models and their Empirical Performances

Georg Grüll and Luca Taschini

Working Papers from Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research

Abstract: Equilibrium models have been proposed in literature with the aim of describing the evolution of the price of emission permits. This paper derives _rst estimation methods for the calibration of three competing equilibrium models. Second, it demonstrates how their reduced-form versions are inter-related. Third, by means of calibration to historical data, it is shown how these reduced-form models perform in the current price-evolution framework also with respect to standard continuous time stochastic models.

Date: 2009-09
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http://tisiphone.mit.edu/RePEc/mee/wpaper/2009-018.pdf (application/pdf)

Related works:
Working Paper: A comparison of reduced-form permit price models and their empirical performances (2010)
Working Paper: A comparison of reduced-form permit price models and their empirical performances (2010)
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