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Dynamic linkages among European carbon markets

Author

Listed:
  • Mohamed Amine Boutaba

    (University of Rouen)

Abstract
A number of studies have tested for cointegration between spot and futures prices in the European carbon markets. These studies tend to focus on the price discovery role of futures versus spot prices. In this paper, we draw the attention to the short- and long-run dynamic linkages among distinct European carbon markets by investigating the interdependence and the transmission efficiency between European Climate Exchange (ECX), Nordic Power Exchange (NordPool) and European Energy Exchange (EEX). To this end, we test for cointegration between European Union carbon allowances (EUAs) futures prices and also, we conduct causality tests to examine spillover dynamics. Our findings indicate that the markets exhibit a reasonable degree of efficiency in both short- and long-run.

Suggested Citation

  • Mohamed Amine Boutaba, 2009. "Dynamic linkages among European carbon markets," Economics Bulletin, AccessEcon, vol. 29(2), pages 499-511.
    • Handle: RePEc:ebl:ecbull:eb-09-00063
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I2-P1.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Cao, Guangxi & Xu, Wei, 2016. "Multifractal features of EUA and CER futures markets by using multifractal detrended fluctuation analysis based on empirical model decomposition," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 212-222.
    2. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1), pages 27-35.
    3. Rannou, Yves & Barneto, Pascal, 2016. "Futures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets," Energy Economics, Elsevier, vol. 53(C), pages 159-174.
    4. Hasan F. Baklaci & Ömür Süer & Tezer Yelkenci̇, 2018. "Price Linkages Among Emerging Gold Futures Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 63(05), pages 1345-1365, December.
    5. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.

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    More about this item

    Keywords

    EU Emissions Trading Scheme; Transmission Efficiency; Cointegration; Granger Causality.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics

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