An analysis of the EU Emission Trading Scheme

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dc.contributor.author Bredin, Donal
dc.contributor.author Muckley, Cal
dc.date.accessioned 2010-11-22T14:35:55Z
dc.date.available 2010-11-22T14:35:55Z
dc.date.issued 2009
dc.identifier.uri http://hdl.handle.net/10197/2568
dc.description.abstract The European Union's Emissions Trading Scheme (ETS) is the key policy instrument of the European Commission's Climate Change Program aimed at reducing greenhouse gas emissions to eight percent below 1990 levels by 2012. A critically important element of the EU ETS is the establishment of a market determined price for EU allowances. This article examines the extent to which several theoretically founded factors including, economic growth, energy prices and weather conditions determine the expected prices of the European Union CO2 allowances during the 2005 through to the 2009 period. The novel aspect of our study is that we examine the heavily traded futures instruments that have an expiry date in Phase 2 of the EU ETS. Our study adopts both static and recursive versions of the Johansen multivariate cointegration likelihood ratio test as well as a variation on this test with a view to controlling for time varying volatility effects. Our results are indicative of a new pricing regime emerging in Phase 2 of the market and point to a maturing market driven by the fundamentals. These results are valuable both for traders of EU allowances and for those policy makers seeking to improve the design of the European Union ETS. en
dc.description.sponsorship Not applicable en
dc.format.extent 269122 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP-09-03 en
dc.relation.requires Economists Online Collection en
dc.subject CO2 prices
dc.subject Energy
dc.subject EU ETS
dc.subject Kyoto protocol
dc.subject Weather
dc.subject.classification Q49
dc.subject.classification G12
dc.subject.classification G15
dc.subject.lcsh Emissions trading--Europe
dc.subject.lcsh Carbon dioxide mitigation
dc.subject.lcsh Energy policy--Europe
dc.title An analysis of the EU Emission Trading Scheme en
dc.type Working Paper en
dc.internal.availability Full text available
dc.internal.webversions Publisher's version
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/wp/WP-09-03.pdf
dc.status Not peer reviewed en
dc.neeo.contributor Bredin|Donal|aut| en
dc.neeo.contributor Muckley|Cal|aut| en


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