A comparison of reduced-form permit price models and their empirical performances

Georg Grüll and Luca Taschini

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Equilibrium models have been proposed in literature with the aim of describing the evolution of the price of emission permits. This paper derives first a reducedform model from an equilibrium model and thereby explains how existing reducedform models are related to equilibrium models. Second, by means of calibration to historical data, it is shown how these reduced-form models perform in the current price-evolution framework also with respect to standard continuous time stochastic models.

Keywords: CO2 emission allowances; equilibrium model; model calibration (search for similar items in EconPapers)
JEL-codes: C2 C61 C63 G13 Q50 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2010-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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http://eprints.lse.ac.uk/37603/ Open access version. (application/pdf)

Related works:
Working Paper: A comparison of reduced-form permit price models and their empirical performances (2010)
Working Paper: A Comparison of Reduced-Form Permit Price Models and their Empirical Performances (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:37603

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