Carbon Financial Markets: a time-frequency analysis of CO2 price drivers

Rita Sousa, Luís Aguiar-Conraria () and Maria Joana Soares ()
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Maria Joana Soares: Universidade do Minho - NIPE, http://www.eeg.uminho.pt

No 03/2014, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: We characterize the interrelation of CO2 prices with energy prices (gas and electricity), and with economic activity. Previous studies have relied on time-domain techniques, such as Vector Auto-Regressions. In this study, we use multivariate wavelet analysis, which operates in the time-frequency domain. Wavelet analysis provides convenient tools to distinguish relations at particular frequencies and at particular time horizons. Our empirical approach has the potential to identify relations getting stronger and then disappearing over specific time intervals and frequencies. We are able to examine the coherency of these variables and lead-lag relations at different frequencies for the time periods in focus.

Keywords: Carbon prices; Financial Markets; Multivariate wavelet analysis. (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ene, nep-env and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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