Modeling Persistence of Carbon Emission Allowance Prices

Luis Gil-Alana, Fernando Pérez de Gracia () and Rangan Gupta

No 201515, Working Papers from University of Pretoria, Department of Economics

Abstract: This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the data, with both of these aspects potentially affecting the degree of persistence. Our results indicate that, while there is no evidence of non-linearity, when allowing for structural breaks, persistence of shocks to the carbon emission allowance is markedly reduced, with the same being transitory in nature for recent sub-samples.

Keywords: CO2 emission allowance prices; fractional integration; nonstationarity (search for similar items in EconPapers)
JEL-codes: C22 G13 G14 Q50 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2015-03
New Economics Papers: this item is included in nep-ene and nep-env
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Journal Article: Modeling persistence of carbon emission allowance prices (2016)
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