Energy prices and CO2 emission allowance prices: A quantile regression approach

Shawkat Hammoudeh, Amine Lahiani, Duc Khuong Nguyen and Ricardo Sousa

No 06/2014, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: 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)
Date: 2014
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 (92)

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Related works:
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)
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