Carbon futures and macroeconomic risk factors : a view from the EU ETS

By Julien Chevallier. 2009

393 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/ebfcaf9072ed8103e3d4811a1cb725efbc77c498

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Citations in the corpus

A model of carbon price interactions with macroeconomic and energy dynamics (2011, methodology): “Note that carbon spot prices are not used in this paper since they were affected by the ban on banking between Phases I and II of the EU ETS (therefore plummeting towards zero near the end of 2007, see Paolella and Taschini (2008), Alberola and Chevallier (2009), Daskalakis et al. (2009) and Hinterm”
Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything? - New evidence (2014, methodology): “…based on Engle (1982), both the dependent variable and the majority of independent variables are homoscedastic during the sample period examined, which is why we do not implement an ARCH parameterization for second moments as in Chevallier (2009), Lutz et al. (2013) or Paolella and Taschini (2008).”
Forecasting carbon futures volatility using GARCH models with energy volatilities (2013, methodology): “Following Chevallier (2009), GARCH-type models with the asymmetric effect provide thebestfit to the carbon futures prices among other GARCH-type specifications.”
Dynamics of China’s carbon prices in the pilot trading phase (2017, methodology): “In terms of economic activities, Chevallier (2009, 2011) show that there is a weak link between macro factors (equity dividend yield and junk bond premium) and carbon prices.”
Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis (2011, background): “…et al. (2008) or Mansanet-Bataller and Pardo (2009) among others) and the relationship between macroeconomic performance and allowance prices (see Chevallier (2009) or Conrad et al. (2011, forthcoming) among others), the investigation of statistical price properties is in the focus of this field…”
Research on carbon market price mechanism and influencing factors: a literature review (2018, methodology): “Chevallier (2009) showed that carbon futures prices have a significant impact on stock and bond yield rates through regression analysis. Liu (2012) used the price of CER futures to forecast the carbon spot price and found that using short-term historical data (about 1 month) to make a short-term for”