EconPapers    
Economics at your fingertips  
 

The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market

Maria Mansanet-Bataller (), Julien Chevallier, Morgan Hervé-Mignucci and Emilie Alberola
Additional contact information
Maria Mansanet-Bataller: Mission Climat Caisse des Dépôts - UP1 - Université Panthéon-Sorbonne
Morgan Hervé-Mignucci: Mission Climat Caisse des Dépôts - UP1 - Université Panthéon-Sorbonne
Emilie Alberola: Mission Climat Caisse des Dépôts - UP1 - Université Panthéon-Sorbonne

Post-Print from HAL

Abstract: This article studies the price relationships between EU emissions allowances (EUAs) – valid under the EU Emissions Trading Scheme (EU ETS) – and secondary Certified Emissions Reductions (sCERs) – established from primary CERs generated through the Kyoto Protocol's Clean Development Mechanism (CDM). Given the price differences between EUAs and sCERs, financial and industrial operators may benefit from arbitrage strategies by buying sCERs and selling EUAs (i.e. selling the EUA-sCER spread) to cover their compliance position between these two assets, as industrial operators are allowed to use sCERs towards compliance with their emissions cap within the European system up to 13.4%. Our central results show that the spread is mainly driven by EUA prices and market microstructure variables and less importantly, as we would expect, by emissions-related fundamental drivers. This might be justified by the fact that the EU ETS remains the greatest source of CER demand to date.

Keywords: EUA-sCER Spread; Arbitrage; Emissions Markets (search for similar items in EconPapers)
Date: 2010-01-13
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00458991
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Published in 2010

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00458991/document (application/pdf)

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:hal:journl:halshs-00458991

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2019-11-26
Handle: RePEc:hal:journl:halshs-00458991