Les déterminants des prix du carbone. Une comparaison entre les phases I et II

Anna Creti, Pierre-André Jouvet and Valérie Mignon ()

Revue économique, 2012, vol. 63, issue 3, 601-610

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. 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. Classification JEL : Q4, C22.

JEL-codes: C22 Q4 (search for similar items in EconPapers)
Date: 2012
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