Autor según el artículo: Lovcha Y; Perez-Laborda A; Sikora I
Departamento: Economia
Autor/es de la URV: Lovcha Lovcha, Yuliya / Perez Laborda, Alejandro
Palabras clave: Svar Frequency-domain Eu ets Connectedness Carbon price volatility spillovers svar phase-ii oil frequency-domain eu ets ets energy markets econometric-analysis dynamics connectedness allowance prices
Resumen: In 2005, the European Union launched its Emissions Trading System (ETS), the first and one of the largest international carbon markets aimed at reducing member states' CO2 emissions. Policymakers tend to use the carbon price as an indicator of the “health” and effectiveness of the ETS mechanism, although this measure is influenced by many other energy and climate policies, energy market fundamentals, and speculative shocks. This paper develops a model that links the energy sector (oil, natural gas, coal, electricity prices, and the share of fossil fuels in electricity generation), economic activity, and the carbon price. The model can be used as a monitoring tool for carbon price dynamics. We represent the model empirically through a Structural Vector Autoregression and use frequency-domain analysis to distinguish the effects of changes in fundamental factors from shocks to market microstructure. Our empirical results show that up to 90% (65% on average) of the fluctuations in the carbon price, adjusted for supply effects, are explained by fluctuations in fundamental market variables; however, the individual contributions are not stable. Overall, our results suggest that the ETS has started to work well.
Áreas temáticas: Renewable energy, sustainability and the environment Química Nuclear energy and engineering Mechanical engineering Materiais Matemática / probabilidade e estatística Management, monitoring, policy and law Interdisciplinar Geociências General energy Fuel technology Farmacia Engineering, chemical Engenharias iv Engenharias iii Engenharias ii Engenharias i Energy engineering and power technology Energy (miscellaneous) Energy (all) Energy & fuels Economia Civil and structural engineering Ciências biológicas iii Ciências biológicas i Ciências ambientais Ciências agrárias i Ciência de alimentos Ciência da computação Building and construction Biotecnología Biodiversidade Arquitetura, urbanismo e design
Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
Direcció de correo del autor: alejandro.perez@urv.cat yuliya.lovcha@urv.cat
Identificador del autor: 0000-0003-4247-598X 0000-0002-0481-7785
Fecha de alta del registro: 2024-02-25
Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
Enlace a la fuente original: https://www.sciencedirect.com/science/article/pii/S0306261921012162
URL Documento de licencia: http://repositori.urv.cat/ca/proteccio-de-dades/
Referencia al articulo segun fuente origial: Applied Energy. 305
Referencia de l'ítem segons les normes APA: Lovcha Y; Perez-Laborda A; Sikora I (2022). The determinants of CO2 prices in the EU emission trading system. Applied Energy, 305(), -. DOI: 10.1016/j.apenergy.2021.117903
DOI del artículo: 10.1016/j.apenergy.2021.117903
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2022
Tipo de publicación: Journal Publications
Repositori URV