Causality and sensitivity of prices of European Union allowances and emission reduction certificates of clean development mechanisms in the European market for allowance transactions

被引：0
|
作者：
Mendez Sayago, Jhon Alexander [1 ]
Perugache Rodriguez, Carol Andrea [2 ]
机构：
[1] Univ Valle, Ciudadela Univ Melendez,Calle 13 100-00, Cali, Colombia
[2] Programa Naciones Unidas Desarrollo, Profes Objetivos Milenio, Cali, Colombia
来源：
ESTUDIOS GERENCIALES | 2012年 / 28卷 / 124期
关键词：
Carbon market; carbon credits; VAR model;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article examines the price relationships between European Union Allowances (EUAS), valid under the EU Emissions Trading Scheme (EU ETS), and Certified Emissions Reductions (CERS) generated through the Clean Development Mechanism (CDM) under the Kyoto Protocol. Given the price differences between EUAS and CERS, financial and industrial operators could profit from arbitrage strategies by buying CERS and selling EUAS or vice versa. A statistical analysis of the carbon credit market through a VAR model revealed the impact of shocks on the carbon market on the prices of EUAS and CERS.
引用
收藏
页码：141 / 167
页数：27
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