Econometric Analysis of Carbon Markets (eBook)

The European Union Emissions Trading Scheme and the Clean Development Mechanism

Julien Chevallier (Autor)

eBook Download: PDF

2011 | 2012
XXX, 217 Seiten
Springer Netherland (Verlag)
978-94-007-2412-9 (ISBN)

Infos

Aimed at those with a basic understanding of time series econometrics, this analysis of the EU’s emissions trading scheme and its ‘clean development mechanism’ shows how to use econometric techniques to analyze the evolving and expanding carbon markets sphere.

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Through analysis of the European Union Emissions Trading Scheme (EU ETS) and the Clean Development Mechanism (CDM), this book demonstrates how to use a variety of econometric techniques to analyze the evolving and expanding carbon markets sphere, techniques that can be extrapolated to the worldwide marketplace. It features stylized facts about carbon markets from an economics perspective, as well as covering key aspects of pricing strategies, risk and portfolio management.

Inhalt

1. Introduction to Emissions Trading1.1 Review of International Climate Policies1.1.1 From Rio to Durban1.1.2 The Burgeoning EU CO2 Allowance Trading Market1.2. Market Design Issues1.2.1 Initial Allocation Rules1.2.2 Equilibrium Permits Price1.2.3 Spatial and Temporal Limits1.2.4 Safety Valve1.3. Key Features of the EU Emissions Trading Scheme1.3.1 Scope and Allocation1.3.2 Calendar1.3.3 Penalties1.3.4 Market Players1.4 EUA Price Development1.4.1 Structure and Main Features of EU ETS Contracts1.4.2 Carbon Price1.4.3 Descriptive Statistics 2. CO2 Price Fundamentals2.1 Institutional Decisions2.1.1 Dummy Variables2.1.2 Structural Breaks2.2 Energy Prices2.2.1 Literature Review2.2.2 Oil, Natural Gas and Coal2.2.3 Electricity Variables2.3 Extreme Weather Events2.3.1 Relationship Between Temperatures and Carbon Prices2.3.2 Empirical ApplicationAppendix: BEKK MGARCH Modeling With CO2 and Energy PricesProblems 3. Link With The Macroeconomy3.1 Stock and Bonds Markets3.1.1 GARCH Modeling of the Carbon Price3.1.2 Relationship With Stock and Bond Markets3.2 Macroeconomic, Financial and Commodity Indicators3.2.1 Extracting Factors Based On Principal Component Analysis3.2.2 Factor-Augmented VAR Analysis Applied to EUAs3.3 Industrial Production3.3.1 Data3.3.2 Nonlinearity Tests3.3.3 Self-Exciting Threshold Autoregressive Models3.3.4 Comparing Smooth Transition and Markov-Switching Autoregressive Models 4. The Clean Development Mechanism4.1 CERs Contracts and Price Development4.2 Relationship With EU Emissions Allowances4.2.1 VAR Analysis4.2.2 Cointegration4.3 CERs Price Drivers4.3.1 Zivot-Andrews Structural Break Test4.3.2 Regression Analysis4.4 Arbitrage Strategies: The CER-EUA Spread4.4.1 Why So Much Interest in this Spread?4.4.2 Spread DriversAppendix: Markov Regime-Switching Modeling With EUAs And CERsProblems 5. Risk-Hedging Strategies And Portfolio Management5.1 Risk Factors5.1.1 Idiosyncratic Risks5.1.2 Common Risk Factors5.2 Risk Premia5.2.1 Theory On Spot-Futures Relationships in Commodity Markets5.2.2 Bessembinder and Lemmon’s (2002) Futures-Spot Structural Model5.2.3 Empirical Application5.3 Managing Carbon Price Risk In The Power Sector5.3.1 Economic Rationale5.3.2 UK Power Sector5.3.3 Factors Influencing Fuel-Switching5.3.4 Econometric Analysis5.3.5 Empirical Results5.3.6 Summary5.4 Portfolio Management5.4.1 Composition of the Portfolio5.4.2 Mean-Variance Optimization and the Portfolio FrontierAppendix: Implied Volatility From Option PricingProblems 6. Advanced Topics: Time-To-Maturity and Modeling the Volatility of Carbon Prices6.1 The Relationship Between Volatility and Time-To-Maturity in Carbon Prices6.2 Background On the Samuelson Hypothesis6.3 Data6.3.1 Daily Frequency6.3.2 Intraday Frequency6.4 The ‘Net Carry Cost’ Approach6.4.1 Computational Steps6.4.2 Regression Analysis6.4.3 Empirical Results6.5 GARCH Modeling6.5.1 GARCH Specification6.5.2 Empirical Results6.6 Realized Volatility Modeling6.6.1 Computational Steps6.6.2 Regression Analysis6.6.3 Empirical Results6.6.4 Sensitivity Tests6.7 SummaryAppendix: Statistical Techniques To Detect Instability In The Volatility Of Carbon Prices Solutions Index

Produkt-Details

• Erscheint lt. Verlag: 21.9.2011
• Verlagsort: Dordrecht
• Sprache: englisch
• Themenwelt: Naturwissenschaften ► Biologie ► Ökologie / Naturschutz
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: Carbon Market • Clean Development Mechanism • Econometrics • Energy Economics • European Union Emissions Trading Scheme
• ISBN-10: 94-007-2412-8 / 9400724128
• ISBN-13: 978-94-007-2412-9 / 9789400724129