Time-Varying Impacts of Carbon Price Drivers in the EU ETS: A TVP-VAR Analysis
Copyright policy )Time-Varying Impacts of Carbon Price Drivers in the EU ETS: A TVP-VAR Analysis
This study analyzes the impacts of different drivers on the pricing of EU carbon futures in various periods by using the time-varying parameter vector autoregressive (TVP-VAR) model. The results indicate that: (1) The relationships between oil, gas, electricity, stock prices and carbon price have significant time-varying characteristics and those relationships have experienced an inversion in 2016. This might be due to the pressure of achieving the “EU 20-20-20” targets and the signing of the Paris Agreement as well as the fine-tuning of the European Union Emissions Trading Scheme (EU ETS). (2) The impacts of different drivers on carbon price are various. The carbon price is more sensitive to oil, gas, electricity prices as well as the stock price before the inversion in the short-term, while its response to changes in the stock price after the inversion is more obvious in the mid-long term. (3) After the signing of the Paris Agreement in the second quarter of 2016, the carbon price has a greater response to changes in its drivers. The oil price’s impact on carbon price became the most significant one among them.
- Chinese Academy of Sciences China (People's Republic of)
- Zhengzhou University China (People's Republic of)
- University of Chinese Academy of Sciences China (People's Republic of)
- Chinese Academy of Sciences United States
- Zhengzhou University of Aeronautics China (People's Republic of)
a TVP VAR model, Monetary economics, Financial economics, carbon price, Economics and Econometrics, Economic Implications of Climate Change Policies, Economics, European union, Social Sciences, FOS: Mechanical engineering, Economic Impact of Environmental Policies and Resources, International economics, Greenhouse gas, EU ETS, Inversion (geology), Environmental science, FOS: Economics and business, Vector autoregression, Engineering, Electricity, Carbon price, GE1-350, Econometrics, Carbon Pricing, Biology, Ecology, Paleontology, Emissions trading, Mechanical engineering, Structural basin, Environmental sciences, Economics, Econometrics and Finance, Futures contract, Impact of Oil Price Shocks on Economy, FOS: Biological sciences, Electrical engineering, carbon price drivers, Paris agreement, Stock (firearms), Oil price, Electricity price
a TVP VAR model, Monetary economics, Financial economics, carbon price, Economics and Econometrics, Economic Implications of Climate Change Policies, Economics, European union, Social Sciences, FOS: Mechanical engineering, Economic Impact of Environmental Policies and Resources, International economics, Greenhouse gas, EU ETS, Inversion (geology), Environmental science, FOS: Economics and business, Vector autoregression, Engineering, Electricity, Carbon price, GE1-350, Econometrics, Carbon Pricing, Biology, Ecology, Paleontology, Emissions trading, Mechanical engineering, Structural basin, Environmental sciences, Economics, Econometrics and Finance, Futures contract, Impact of Oil Price Shocks on Economy, FOS: Biological sciences, Electrical engineering, carbon price drivers, Paris agreement, Stock (firearms), Oil price, Electricity price
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