Econometric Analysis of Carbon Markets: The European Union by Julien Chevallier

By Julien Chevallier

Via research of the ecu Union Emissions buying and selling Scheme (EU ETS) and the fresh improvement Mechanism (CDM), this ebook demonstrates tips on how to use a number of econometric suggestions to research the evolving and increasing carbon markets sphere, concepts that may be extrapolated to the global market. It positive factors stylized proof approximately carbon markets from an economics viewpoint, in addition to overlaying key elements of pricing ideas, hazard and portfolio administration.

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Extra info for Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism

Sample text

A consumer). Consequently, the terminal and exhaustion conditions are introduced. 2 Terminal Condition Let [0, T ] be the continuous time planning horizon. This planning period seems appropriate for a theoretical study of intertemporal emissions trading. For instance, Phase I of the EU ETS may be seen as a single period since the permits bank needs to be cleared by the end of 2007. Alternative time settings including distinct phases may be found in Schennach (2000, [30]) or Ellerman and Montero (2007, [13]), but they reflect the specific requirements of the US Acid Rain Program.

Investment banks typically engage in that type of activity, along more traditional consulting work for their clients. Companies which receive allowances can also directly trade CO2 allowances for profit, if they open a dedicated trading desk. EDF Trading, Total Trading or Shell Trading may be cited as examples. Finally, trading CO2 allowances can also be seen as having a diversifying effect in portfolio management (see Chap. 5). 4 EUA Price Development This section describes the main characteristics of EU ETS contracts, along with an analysis of the EU CO2 allowance price development and descriptive statistics.

The amount of surplus allowances is equal to 55 million ton. e. approximatively 7% of the allowances surrendered. Power generation contributes to more than 50% of emissions reductions in the EU ETS [3, 4]. ). Electricity generation from coal is cheaper than from natural gas. However, coal is nearly twice as carbon-intensive as gas, and the introduction of carbon costs may make gas more interesting than coal to produce electricity. Thus, the CO2 price path may be greatly impacted by fuel-switching decisions.

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