Carbon prices. Dynamic analysis of European and Californian markets

Bibliographic Details
Main Author: Sousa, Rita Mafalda Dionísio de
Publication Date: 2014
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/13109
Summary: Dissertação para obtenção do Grau de Doutor em Alterações Climáticas e Políticas de Desenvolvimento Sustentável
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network_name_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
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spelling Carbon prices. Dynamic analysis of European and Californian marketsCarbon pricesVAR modelMultivariate wavelet analysisEU ETSAB32Dissertação para obtenção do Grau de Doutor em Alterações Climáticas e Políticas de Desenvolvimento SustentávelCarbon markets’ goal is to promote the reduction of emissions of greenhouse gases where it is most cost-efficient. This makes the price of the tradable good – carbon dioxide equivalent (CO2e) - a key variable in management and risk decisions, in markets related to activities connected with the burning of fossil fuels, such as power generation. This work aims to improve the analysis of carbon prices’ dynamics, considering the possibility of multidirectional effects between prices of CO2e, energy (primary and final), offsets licenses and the economy performance, in various frequencies. The two main research questions are: (i) what drives carbon price variations? (ii) what variations do carbon prices drive? We used two comple-mentary methodologies: (a) a vector autoregression model (of common use in macroeconomics and financial markets but not in carbon-energy relations), which allows the analysis of causality and of impulse-response functions of daily prices; and (b) an innovative multivariate wavelet analysis, which allows us to understand the relationship and causal link between the variables in the time and frequency dimensions, particularly in longer cycles (4~8 and 8~20 months), not perceived in previous studies. As case studies we considered the European (EU ETS) and Califor-nia (AB32) carbon markets. This is the first research to present the analysis of the referred US market. The analysis covers the 2008-2013 period, intentionally excluding the EU ETS phase I, for greater consistency of results. Results suggest that the economy and electricity drive the price of European carbon, while gas and oil have a greater role in California. So, there is a greater influence of final energy prices in the most mature market. We also observe that the price of CERs does not affect the European carbon price. On the other hand, this study shows for the first time that carbon prices have impacts on electricity prices over longer cycles (8~20 months) and in coal over short cycles (lim-ited to the first days). It is suggested that the carbon market has more significant effects in longer cycles. The price of European carbon also has impact in CERs prices. The results are statistically significant and relevant, and will improve the quality of decision making of all parties involved in the energy and carbon markets - polluters and regulators included.Faculdade de Ciências e TecnologiaSantos, RuiAguiar-Conraria, LuísRUNSousa, Rita Mafalda Dionísio de2014-09-15T15:05:46Z20142014-01-01T00:00:00Zdoctoral thesisinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://hdl.handle.net/10362/13109TID:101475101enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-22T17:16:49Zoai:run.unl.pt:10362/13109Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T16:47:33.115939Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Carbon prices. Dynamic analysis of European and Californian markets
title Carbon prices. Dynamic analysis of European and Californian markets
spellingShingle Carbon prices. Dynamic analysis of European and Californian markets
Sousa, Rita Mafalda Dionísio de
Carbon prices
VAR model
Multivariate wavelet analysis
EU ETS
AB32
title_short Carbon prices. Dynamic analysis of European and Californian markets
title_full Carbon prices. Dynamic analysis of European and Californian markets
title_fullStr Carbon prices. Dynamic analysis of European and Californian markets
title_full_unstemmed Carbon prices. Dynamic analysis of European and Californian markets
title_sort Carbon prices. Dynamic analysis of European and Californian markets
author Sousa, Rita Mafalda Dionísio de
author_facet Sousa, Rita Mafalda Dionísio de
author_role author
dc.contributor.none.fl_str_mv Santos, Rui
Aguiar-Conraria, Luís
RUN
dc.contributor.author.fl_str_mv Sousa, Rita Mafalda Dionísio de
dc.subject.por.fl_str_mv Carbon prices
VAR model
Multivariate wavelet analysis
EU ETS
AB32
topic Carbon prices
VAR model
Multivariate wavelet analysis
EU ETS
AB32
description Dissertação para obtenção do Grau de Doutor em Alterações Climáticas e Políticas de Desenvolvimento Sustentável
publishDate 2014
dc.date.none.fl_str_mv 2014-09-15T15:05:46Z
2014
2014-01-01T00:00:00Z
dc.type.driver.fl_str_mv doctoral thesis
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/13109
TID:101475101
url http://hdl.handle.net/10362/13109
identifier_str_mv TID:101475101
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Faculdade de Ciências e Tecnologia
publisher.none.fl_str_mv Faculdade de Ciências e Tecnologia
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833596196071931904

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