Quantitative analysis of energy markets

Gianfreda, Angelica; Grossi, Luigi

doi:10.1016/j.eneco.2012.06.026

Cited by 4 publications

(1 citation statement)

References 46 publications

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“…Second, research has revealed the complexity of the carbon pricing mechanism, in addition to the demand and supply for EUAs, with various drivers of EUA prices included in the pricing models. The research on these drivers expanded in 2007 due to the ease of observing the price formation in the EU ETS compared to Certified Emission Credits (CERs) and Emission Reduction Units (ERUs) under the Kyoto Protocol [41]. Refs.…”

Section: Carbon Pricing Models-drivers and Impact On Economic Sectorsmentioning

confidence: 99%

A VaR-Based Methodology for Assessing Carbon Price Risk across European Union Economic Sectors

et al. 2021

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The latest European Union measures for combating climate adopted in the “Fit for 55 package” envisage the extension of the Emissions Trading System, the first “cap-and-trade” system in the world created for achieving climate targets, which limits the amount of greenhouse gas emissions by imposing a price on carbon. In this context, our study provides an integrated assessment of carbon price risk exposure of all economic sectors in the European Union Member States, thus supporting decision making in determining the energy transition risk. We propose a novel approach in assessing carbon risk exposure using the Value at Risk methodology to compute the carbon price under the EU ETS, based on historical price simulation for January–August 2021 and ARMA-GARCH models for the October 2012–August 2021 period. We further built a value erosion metric, which allowed us to establish each sector’s exposure to risk and to identify differences between Eastern and Western EU countries. We find that the refining sector appears to be highly vulnerable, whereas there is higher potential for large losses in the energy supply and chemical sectors in Eastern EU Member States, given a different pace of industry restructuring.

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Section: Carbon Pricing Models-drivers and Impact On Economic Sectorsmentioning

confidence: 99%

A VaR-Based Methodology for Assessing Carbon Price Risk across European Union Economic Sectors

et al. 2021

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The Economic and Environmental Assessment of Electricity Storage Investments. Any Need for Policy Incentives?

Spisto

Hrelja

2016

Energy Procedia

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German energy market fallout from the Japanese earthquake

Grossi

Waterson

2013

2013 10th International Conference on the European Energy Market (EEM)

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The German response to the Fukushima nuclear power plant incident was possibly the most significant change of policy towards nuclear power outside Japan, leading to a sudden and very significant shift in the underlying power generation structure in Germany. This provides a very useful natural experiment on the impact of changing proportions of conventional fuel inputs to power production, helping us to see how changed proportions in future as a result of policy moves in favour of renewables are likely to impact. We find through exploration of a conventional demand-supply framework that despite the swift, significant change, the main impact was a relatively modest increase in prices occasioned by a shift of the supply curve; there were no appreciable quantity effects on the market, such as power outages, despite some views that the impacts would be significant.

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Quantitative analysis of energy markets

Cited by 4 publications

References 46 publications

A VaR-Based Methodology for Assessing Carbon Price Risk across European Union Economic Sectors

A VaR-Based Methodology for Assessing Carbon Price Risk across European Union Economic Sectors

The Economic and Environmental Assessment of Electricity Storage Investments. Any Need for Policy Incentives?

German energy market fallout from the Japanese earthquake

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