Modeling persistence of carbon emission allowance prices

Luis Gil-Alana, Rangan Gupta and Fernando Perez de Gracia

Renewable and Sustainable Energy Reviews, 2016, vol. 55, issue C, 221-226

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)
Date: 2016
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Citations: View citations in EconPapers (11)

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Working Paper: Modeling Persistence of Carbon Emission Allowance Prices (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:rensus:v:55:y:2016:i:c:p:221-226

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DOI: 10.1016/j.rser.2015.10.056

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