CO2 Prices, Energy and Weather

Bataller, Maria Mansanet; Tornero, Ángel Pardo; Valor, E.

doi:10.2139/ssrn.913964

Cited by 53 publications

(68 citation statements)

References 12 publications

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“…9 For a more extensive discussion of this complicated relationship, see Mansanet-Bateller et al (2007), Bunn and Fezzi (2007), and Alberola et al (2008). 10 Efficiency is, however, not constant.…”

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confidence: 99%

SHORT-TERM CO₂ ABATEMENT IN THE EUROPEAN POWER SECTOR: 2005–2006

2010

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This paper focuses on the possibilities for short term abatement in response to a CO 2 price through fuel switching in the European power sector. The model E-Simulate is used to simulate the electricity generation in Europe as a means of both gaining insight into the process of fuel switching and estimating the abatement in the power sector during the first trading period of the European Union Emission Trading Scheme. Abatement is shown to depend not only on the price of allowances, but also and more importantly on the load level of the system and the ratio between natural gas and coal prices. Estimates of the amount of abatement through fuel switching are provided with a lower limit of 35 million metric tons in 2005 and 19 Mtons in 2006.

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confidence: 99%

SHORT-TERM CO₂ ABATEMENT IN THE EUROPEAN POWER SECTOR: 2005–2006

2010

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“…Since the EU ETS was founded in 2005, many studies have been carried out to analyze the intrinsic and extrinsic characteristics of the carbon market. From these studies, it is often observed that carbon prices respond sensitively to oil, gas and coal prices as well as extreme weather events (Alberola et al ., ; Feng et al ., ; Mansanet‐Bataller et al ., ). It has also been observed that the price of carbon correlates more strongly with the price of oil than with the price of coal or gas.…”

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confidence: 97%

A new methodology for carbon price forecasting in EU ETS

Han

Ahn

et al. 2014

Expert Systems

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This paper proposes a new methodology for carbon price forecasting. It posits a finite distributed lag (FDL) model and then applies a GA‐ridge algorithm to determine a set of proper predictors with coefficient estimates. An empirical study was conducted in the European Union Greenhouse Gas Emissions Trading market, revealing that our methodology not only yields good forecasting results but also provides some interesting analysis on the carbon price market. It turns out that the combination of the FDL model and GA‐ridge algorithm is desirable for forecasting and analyzing the complicated carbon price market because of its capability of selecting proper predictors from a class of predictors of itself.

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“…[20] study the market at an institutional level. [24], [12], [13] and [22] study different aspects of the market efficiency. [3], [32], [30] and [35] analysed the lead-lag relationship between the spot and futures markets, this last one being the market that leads the price discovery process.…”

Section: Introductionmentioning

confidence: 99%

“…Following [14], trading versus nontrading period variance ratios in weather-sensitive markets are lower than those in the equity markets. Given that [22] and [1] have showed empirical evidence about the influence of weather on carbon returns, we study the non-trading effect on EUAs by testing whether the information flow on EUA markets is evenly distributed around the clock. Another stylized fact characteristic of commodities is the negative correlation with stocks and bonds.…”

Section: Introductionmentioning

confidence: 99%

“…See the User Guide of ICE ECX Contracts: EUAs and CERs at the www.ecx.eu for further information about the contract specifications of ECX EUA futures contract (last accessed on February 3, 2010) 6. The special features observed in this period are treated in detail by, among others,[24],[27],[22],[2], and[13] 7. Given that the EU ETS is organized in Phases, the Member States must elaborate a National Allocation Plan (NAP) for each one of the phases in which the Member States attribute their emission allowances to the different companies, included in the sectors involved in the 2003/87/CE Directive and establish the emission limits for the different sectors, as well as for each one of the facilities covered by EU ETS.…”

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Is the EUA a new asset class?

Medina

Pardo

2011

2011 8th International Conference on the European Energy Market (EEM)

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The listing of a new asset requires the knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, we study the stylized facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in commodity futures. However, other statistical properties typical of financial assets, such as negative asymmetry and absence of an inflation hedge, are also detected. Therefore, our results indicate, surprisingly, that EUAs do not behave like common commodity futures.

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CO2 Prices, Energy and Weather

Cited by 53 publications

References 12 publications

SHORT-TERM CO₂ ABATEMENT IN THE EUROPEAN POWER SECTOR: 2005–2006

SHORT-TERM CO₂ ABATEMENT IN THE EUROPEAN POWER SECTOR: 2005–2006

A new methodology for carbon price forecasting in EU ETS

Is the EUA a new asset class?

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CO2 Prices, Energy and Weather

Cited by 53 publications

References 12 publications

SHORT-TERM CO2 ABATEMENT IN THE EUROPEAN POWER SECTOR: 2005–2006

SHORT-TERM CO2 ABATEMENT IN THE EUROPEAN POWER SECTOR: 2005–2006

A new methodology for carbon price forecasting in EU ETS

Is the EUA a new asset class?

Contact Info

Product

Resources

About

SHORT-TERM CO₂ ABATEMENT IN THE EUROPEAN POWER SECTOR: 2005–2006

SHORT-TERM CO₂ ABATEMENT IN THE EUROPEAN POWER SECTOR: 2005–2006