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What explains the short-term dynamics of the prices of CO2 emissions?
Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M.Using the vector auto-regression (VAR) and the vector error-correction Models (VECM), this paper analyzes the short-term dynamics of the prices of CO2 emissions in response to changes in the prices of oil, coal, natural gas, electricity and carbon emission allowances. The results show that: (i) a positive shock to the crude oil prices has a negative effect on the CO2 allowance prices; (ii) an unexpected increas...
Asymmetric and nonlinear pass-through of energy prices to CO2 emission allowanc...
Hammoudeh, Shawkat; Lahiani, Amine; Nguyen, Duc Khuong; Sousa, Ricardo M.We use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of changes in crude oil prices, natural gas prices, coal prices and electricity prices to the CO2 emission allowance prices. This approach allows one to simultaneously test the short- and long-run nonlinearities through the positive and negative partial sum decompositions of the predetermined explan...
Energy prices and CO2 emission allowance prices : a quantile regression approach
Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M.We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a neg...
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