Modeling persistence of carbon emission allowance prices

RENEWABLE & SUSTAINABLE ENERGY REVIEWS

卷:55

Review

Gil-Alana, Luis A.¹  Gupta, Rangan²  de Gracia, Fernando Perez¹ 

[1] Univ Navarra, E-31080 Pamplona, Spain

[2] Univ Pretoria, ZA-0002 Pretoria, South Africa

关键词: CO2 emission allowance prices;    Fractional integration;    Nonstationarity;   

DOI  :  10.1016/j.rser.2015.10.056

来源: Elsevier

【 摘 要 】

This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the data, with both of these aspects potentially affecting the degree of persistence. Our results indicate that, while there is no evidence of non-linearity, when allowing for structural breaks, persistence of shocks to the carbon emission allowance is markedly reduced, with the same being transitory in nature for recent sub-samples. (C) 2015 Elsevier Ltd. All rights reserved.

【 授权许可】

Free