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DOI | 10.1016/j.enpol.2017.04.018 |
Multiple bubbles in the European Union Emission Trading Scheme | |
Creti, Anna1; Joets, Marc2,3 | |
2017-08-01 | |
发表期刊 | ENERGY POLICY |
ISSN | 0301-4215 |
EISSN | 1873-6777 |
出版年 | 2017 |
卷号 | 107 |
文章类型 | Article |
语种 | 英语 |
国家 | France |
英文摘要 | The European Union Emission Trading Scheme (EU ETS) is the first large scale CO2 emission trading system in the world. Carbon allowances are financial assets, potentially vulnerable to the behavior of traders and investors. In fact, the carbon price has been quite volatile since the inception of the market, and it has recently hit very low values. However, to date, no work exists to evaluate whether volatility and price spikes are due to episodes of speculation and price bubbles. Our paper fills this gap. We use the recent approaches developed by Phillips and Yu (2010), Phillips et al. (2011), and Phillips et al. (2015a, 2015b) who propose a recursive right sided unit root approaches to detect and date-stamp mildly explosive behaviors and carbon market exuberance. We complement this methodology by using the wild bootstrap procedure by Gongalves and Kilian (2004) to control for the heteroschedasticity of carbon price data. Analyzing the EU ETS front month contract price, from 2005 to 2014, we find different episodes of price bubbles. These episodes are not explained by similar behavior of the fundamentals but seem related to energy and environmental policy announcements. Our results can provide insightful policy implications in the context of the actual carbon market reform, as well as the implementation of stricter financial regulations rules to CO2 trading. |
英文关键词 | Emission permits' market CO2 price Speculation Financial regulation |
领域 | 气候变化 |
收录类别 | SCI-E ; SSCI |
WOS记录号 | WOS:000405158200012 |
WOS关键词 | EU ETS ; ECONOMETRIC-ANALYSIS ; SPECULATIVE BUBBLES ; PRICE VOLATILITY ; EXCHANGE-RATE ; PHASE-II ; MARKET ; TESTS ; EFFICIENCY ; DYNAMICS |
WOS类目 | Economics ; Energy & Fuels ; Environmental Sciences ; Environmental Studies |
WOS研究方向 | Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/18119 |
专题 | 气候变化 |
作者单位 | 1.PSL Res Univ, Univ Paris Dauphine, LEDa, Pl Marechal Delattre De Tassigny, F-75016 Paris, France; 2.Univ Paris Ouest, Int Macroecon Div, Banque France, Paris, France; 3.Univ Paris Ouest, CNRS, EconomiX, Paris, France |
推荐引用方式 GB/T 7714 | Creti, Anna,Joets, Marc. Multiple bubbles in the European Union Emission Trading Scheme[J]. ENERGY POLICY,2017,107. |
APA | Creti, Anna,&Joets, Marc.(2017).Multiple bubbles in the European Union Emission Trading Scheme.ENERGY POLICY,107. |
MLA | Creti, Anna,et al."Multiple bubbles in the European Union Emission Trading Scheme".ENERGY POLICY 107(2017). |
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