Carbon markets efficiency an empirical study on the key price determinants of the EU ETS from 2009 to 2016

• Main Author: Gonçalves, José Júlio Valente da Silva
• Publication Date: 2017
• Format: Master thesis
• Language: eng
• Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
• Download full: http://hdl.handle.net/10362/26208
• topic: EU ETS; Carbon prices; Price determinants; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This work project is an empirical study on the key price driven factors of the European Union Emissions Trading Scheme. The research examines the prices on the secondary market, from 2009 until 2016, comprehending the second and third phases of the program, performed with an Ordinary Least Squares regression. The independent variables under the scope of this project are not only energy based, but also structured spreads, economic growth proxies and a temperature dispersion indices. First, the results are due to respect of the whole period to present a global picture of the main determinants on the carbon price changes then, the sample is divided according with institutional measures to avoid over allocation and price instability. Evidence suggests the impact of energy-related variables such as Brent, Coal and the Power Price in Germany and in the U.K. on the price of European Union Allowances, especially during the 3rd phase of the scheme. Moreover, fluctuations in the coefficients and in the explanatory variables are highly related with institutional changes on the European program.