Journal Article10.1016/J.JEEM.2008.03.003
Dynamic behavior of CO2 spot prices
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TL;DR: In this article, the authors present a tractable stochastic equilibrium model reflecting stylized features of the EU ETS and analyze the resulting CO2 spot price dynamics, showing that CO2 prices do not have to follow any seasonal patterns, discounted prices should possess the martingale property, and an adequate CO2 price process should exhibit a time and price-dependent volatility structure.
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About: This article is published in Journal of Environmental Economics and Management. The article was published on 01 Sep 2008. The article focuses on the topics: European union & European Union Emission Trading Scheme.
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Citations
The influencing factors of China carbon price: a study based on carbon trading market in hubei province
TL;DR: Wang et al. as mentioned in this paper explored the influencing factors of the price of carbon trading market and found that industrial income, energy price, government intervention and the number of participating corporations have significant effect on the carbon price, which provides a meaningful reference for the other pilots in-depth study.
18
Nonlinear price dynamics between CO2 futures and Brent
Massimo Peri,Lucia Baldi +1 more
TL;DR: In this article, the authors applied recent developments in the threshold cointegration approach to investigate the presence of asymmetric dynamic adjusting processes between CO2 futures and spot Brent prices and found evidence of the existences of long-run nonlinear relationships, with Brent prices driving EUA futures prices to a long run equilibrium up to a point where the gap between the two prices exceeds a critical threshold.
18
Pricing emission permits in the absence of abatement
TL;DR: In this article, the authors derive a binary options pricing formula that expresses the permit price as a function of the penalty for noncompliance and the probability of an exceeded cap under the assumption of no abatement.
18
Testing for Linear and Nonlinear Granger Causality between the Carbon Spot and Futures Prices
TL;DR: In this article, the role of price discovery through the empirical relationship between EUA/CER spot price and futures price was examined through the nonlinear Granger causality test and showed significant bidirectional causality between futures price and spot price in both EUA and CER markets.
18
How to explain carbon price using market micro-behaviour?
TL;DR: In this paper, the micro-behaviours of the emitting companies and financial intermediaries in the European Union emissions trading scheme (EU-ETS) and their influence on carbon prices are analyzed.
18
References
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Environmental and Natural Resource Economics
Tom Tietenberg
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TL;DR: In this article, the authors define the concept of sustainable development as "the allocation of Depletable, Non-recyclable Energy Resources: Oil, Gas, Coal and Uranium".
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Optimal Control Theory : Applications to Management Science and Economics
Suresh Sethi
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TL;DR: In this article, the authors present an alternative derivation of the maximum principle of continuous time for optimal control, which they call the continuous time maximization principle (CTP), which is defined in the Calculus of Variations.
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Modeling the Price Dynamics of Co2 Emission Allowances
Eva Benz,Stefan Trück +1 more
TL;DR: In this paper, the short-term spot price behavior of CO2 emission allowances of the new EU-wide CO2 emissions trading system (EU-ETS) was analyzed and several approaches for modeling the returns of emission allowances were investigated.
584
A model of intertemporal emission trading, banking, and borrowing
TL;DR: In this paper, the authors provide a general treatment of emission trading, banking, and borrowing in an intertemporal, continuous-time model using optimal-control theory, the decentralized behavior of firms is shown to lead to the least-cost solution attainable under joint-cost minimization.
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