Assessing the effects of climate change policy on the volatility of carbon prices in reference to the Great Recession

Getachew Nigatu ()

Journal of Environmental Economics and Policy, 2016, vol. 5, issue 2, 200-215

Abstract: This paper examines the effects of having or not having a climate change policy on the behaviour of carbon price volatility before, within and after the 2008/09 global recession. Our Markov-regime switching model analysis shows that the voluntary carbon market at the Chicago Climate Exchange was in a high-volatile regime within, and two years before, this recession. The mandatory carbon market in the European Climate Exchange was relatively in stable and low-volatile regime over these periods, except at the end of the recession. The voluntary market exhibited more price volatility features than the mandatory one. After the recession, both markets experienced high probabilities of being at low-volatile regimes. Our results suggest that high-volatile regimes were not caused by the recession per se. However, statistical tests show that there were distinct low-and high-volatile regimes during the recession period, indicating that the recession aggravated price volatility of both markets.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/21606544.2015.1075906 (text/html)
Access to full text is restricted to subscribers.

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:taf:teepxx:v:5:y:2016:i:2:p:200-215

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/teep20

DOI: 10.1080/21606544.2015.1075906

Access Statistics for this article

Journal of Environmental Economics and Policy is currently edited by Ken Willis

More articles in Journal of Environmental Economics and Policy from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().