Factors of carbon price volatility in a comparative analysis of the EUA and sCER

Bao-Jun Tang, Pi-qin Gong and Cheng Shen
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Pi-qin Gong: Beijing Institute of Technology
Cheng Shen: China Shipbuilding Industry Research Center

Annals of Operations Research, 2017, vol. 255, issue 1, No 9, 157-168

Abstract: Abstract The paper proposes three hypotheses for the factors of carbon price volatility on the basis of the existing literature, and then uses ensemble empirical model decomposition and variance ratio to analyze the carbon price volatility of the European Union emission trading system (EU ETS) and clean development mechanisms (CDM). The results show that carbon price volatility is mainly affected by the market mechanism and external environment. The frequency of the market mechanism is high, with the duration being $$

Keywords: European Union emission trading system; Clean development mechanisms; Ensemble empirical model decomposition; Variance ratio (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (16)

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DOI: 10.1007/s10479-015-1864-y

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