Banking and Borrowing in the EU ETS: An Econometric Appraisal of the 2005-2007 Intertemporal Market - HAL Accéder directement au contenu
Pré-publication, Document de travail Année : 2009

Banking and Borrowing in the EU ETS: An Econometric Appraisal of the 2005-2007 Intertemporal Market

Julien Chevallier
  • Fonction : Auteur
  • PersonId : 837623

Résumé

This article critically examines the EU ETS intertemporal market during its Phase I (2005-2007). We test the Hotelling rule as a key element of a competitive equilibrium to validate whether allowance prices rise at the same rate as the interest rate. Including readily observable characteristics of the EU ETS such as the presence of one endogenous structural break and the influence of other energy markets shocks, we argue the inter-period ban on banking undermines the ability of the EU ETS to provide efficient price signalling. We also find a significant relationship between allowance price changes and the expected scarcity of allowances approximated by the Ellerman-Parsons ratio. Finally, our results show evidence of institutional learning by market participants.
Fichier principal
Vignette du fichier
20090526115858.pdf ( 712.6 Ko ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-00388071, version 1 (26-05-2009)

Identifiants

  • HAL Id : halshs-00388071 , version 1

Citer

Julien Chevallier, Emilie Alberola. Banking and Borrowing in the EU ETS: An Econometric Appraisal of the 2005-2007 Intertemporal Market. 2009. ⟨halshs-00388071⟩
165 Consultations
949 Téléchargements
Dernière date de mise à jour le 28/04/2024
comment ces indicateurs sont-ils produits

Partager

Gmail Facebook Twitter LinkedIn Plus