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| 1 |
ID:
124677
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| Publication |
2013.
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| Summary/Abstract |
In this paper, we study the relationship between futures and spot prices in the European carbon markets from the cost-of-carry hypothesis. The aim is to investigate the extent of efficiency market. The three main European markets (BlueNext, EEX and ECX) are analyzed during Phase II, covering the period from March 13, 2009 to January, 17, 2012. Futures contracts are found to be cointegrated with spot prices and interest rates for several maturities in the three CO2 markets. Results are similar when structural breaks are taken into account. According to individual and joint tests, the cost-of-carry model is rejected for all maturities and CO2 markets, implying that neither contract is priced according to the cost-of-carry model. The absence of the cost-of-carry relationship can be interpreted as an indicator of market inefficiency and may bring arbitrage opportunities in the CO2 market.
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| 2 |
ID:
104920
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| Publication |
2011.
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| Summary/Abstract |
Across Europe, CO2 emission allowances represent one of the main policy instruments to comply with the goals of the Kyoto Protocol. In this paper we use microdata to address two issues regarding the impact of the European Carbon Market (EU ETS). First, we analyze the sectoral effects of the EU ETS in Portugal. The goal is to study the distributive consequences of imbalances, with the novelty of taking into account firm financial data to put values into context. We show that a large majority of installations in most sectors had surpluses and the opportunity to raise remarkable revenues in some cases. We also look at the regional impact, since the pre-existing specialization of different regions in the production of different goods and services might lead to an uneven economic impact of the allowance market. In particular, Portuguese data indicate a distribution of revenue from low income to high income regions, or rather, between installations located in those regions. We focus on the first phase of the EU ETS, using data for each one of the 244 Portuguese installations in the market as well as financial data for 80% of these installations, although we also present data for 2008 and 2009.
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