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Modeling and explaining the dynamics of European Union Allowance prices at high-frequency

Christian Conrad (), Daniel Rittler and Waldemar Rotfuß ()

Energy Economics, 2012, vol. 34, issue 1, 316-326

Abstract: In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process. The decisions of the European Commission on second National Allocation Plans have a strong and immediate impact on EUA prices. Further, EUA prices increase in response to better than expected news on the future economic development as well as the current economic activity in Germany and the U.S.

Keywords: EU ETS; EUA; Second NAPs; Announcement effects; Price formation; Long memory (search for similar items in EconPapers)
JEL-codes: C22 G13 G14 Q50 (search for similar items in EconPapers)
Date: 2012
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Related works:
Working Paper: Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency (2010) Downloads
Working Paper: Modeling and explaining the dynamics of European Union allowance prices at high-frequency (2010) Downloads
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