The use of derivatives on CO2-emission allowances in Italy

Michele Leonardo Bianchi (), Maurizio Magnani () and Francesco Vercelli ()
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Michele Leonardo Bianchi: Bank of Italy
Maurizio Magnani: Bank of Italy
Francesco Vercelli: Bank of Italy

No 896, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: In this paper, we study the Italian market for CO2-emission allowances derivatives. The first part of the study illustrates the main characteristics of these instruments, the peculiarities of the market, and their use for risk hedging and investment purposes. The second part describes the development of CO2-emission derivatives in Italy since 2021, exploring the EMIR database, which collects daily observations of transactions in derivatives. The evolution of the market is analysed in terms of notional values, its concentration and the interactions between the main players. Finally, we conduct a deep-dive analysis of the characteristics, price dynamics and term structure of CO2-emission futures.

Keywords: CO2-emission allowances; CO2-emission derivatives; granular data; EMIR (search for similar items in EconPapers)
JEL-codes: G1 Q5 (search for similar items in EconPapers)
Date: 2024-12
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_896_24

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