EconPapers    
Economics at your fingertips  
 

The impact of nonlinearities for carbon markets analyses

Julien Chevallier

International Economics, 2011, issue 126-127, 131-150

Abstract: This paper examines empirically whether nonlinearities play a significant role in the modeling of the carbon price. We highlight the limits of previous carbon markets analyses based essentially on a linear econometric framework. Instead, we propose to revisit the main results on carbon pricing and the inter-relationships with energy markets and CERs based on nonlinear techniques (threshold vector autoregressive and Markov regime-switching models). While we are able to confirm most of the findings present in the literature, we show interestingly that these results seem to vary (and may even fade) depending on the regimes considered. Thereby, we illustrate the importance of including threshold effects in future studies of the relationships between CO2 and energy prices, which have been neglected so far.

Keywords: Carbon Prices; Energy Prices; Nonlinearity; TVAR; MSVAR (search for similar items in EconPapers)
JEL-codes: C32 C51 Q40 Q54 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2110701713600402 (text/html)

Related works:
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:cii:cepiie:2011-q2-3-126-127-8

Access Statistics for this article

More articles in International Economics from CEPII research center Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-11-24
Handle: RePEc:cii:cepiie:2011-q2-3-126-127-8