Energy prices and CO2 emission allowance prices: A quantile regression approach
Duc Khuong Nguyen and
Ricardo Sousa ()
No 06/2014, NIPE Working Papers from NIPE - Universidade do Minho
We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electricity prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices.
Keywords: CO2 allowance price; energy prices; quantile regression.Creation-Date: 2014 (search for similar items in EconPapers)
JEL-codes: Q47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene and nep-env
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42) Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.nipe.eeg.uminho.pt:443 (Bad file descriptor) (http://www.nipe.eeg.uminho.pt/Uploads/NIPE_WP_06_2014.pdf [301 Moved Permanently]--> https://www.nipe.eeg.uminho.pt/Uploads/NIPE_WP_06_2014.pdf)
Journal Article: Energy prices and CO2 emission allowance prices: A quantile regression approach (2014)
Working Paper: Energy prices and CO2 emission allowance prices: A quantile regression approach (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nip:nipewp:06/2014
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in NIPE Working Papers from NIPE - Universidade do Minho Núcleo de Investigação em Políticas Económicas e Empresariais, Escola de Economia e Gestão, Universidade do Minho, P-4710-057 Braga, Portugal. Contact information at EDIRC.
Bibliographic data for series maintained by NIPE ().