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Wirtschaftswissenschaftlicher Fachbereich - Jahrgang 2008



The Price of CO2 Allowances in the European Greenhouse Gas Emissions Trading Scheme
An Empirical, Experimental, and Theoretical Study


Eva Benz




According to the common position of the European Council, large installations from the energy industry and other carbon-intensive industries are part of an EU-wide greenhouse gas (GHG) emissions trading scheme (EU ETS) that formally has entered into operation in January 2005. So far it is the world's largest GHG emissions trading system covering over 10,000 installations in the energy and industrial sectors that are collectively responsible for about 50% of Europe's CO2 emissions and 40% of its total GHG emissions. It is considered as the cornerstone of the European Climate Change Programme and is expected to help achieving the EU's obligations under the United Nations Framework Convention on Climate Change and the Kyoto Protocol in a cost-effective way.
This dissertation sheds light on the price of CO2 emission allowances by using empirical and experimental analysis as well as theoretical models. In particular, it examines the European Union Allowance (EUA) price pattern that has evolved in Phase 1 (2005-2007). For this purpose the first two chapters provide an empirical analysis of EUA prices by studying daily spot prices and high frequency data for futures prices. Short-term dynamics of spot prices are of particular interest for market participants like risk managers or traders, but also for CO2 emitting companies, as they must model the behavior of their production costs. The results strongly support the use of AR-GARCH or regime-switching models for modeling the returns of CO2 emission allowances. more...

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© Universitäts- und Landesbibliothek Bonn | Veröffentlicht: 2008