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EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread

Hervé-Mignucci, Morgan; Mansanet-Bataller, Maria; Chevallier, Julien; Alberola, Emilie (2011), EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread, Energy Policy, 39, 3, p. 1056-1069. http://dx.doi.org/10.1016/j.enpol.2010.10.047

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Type
Article accepté pour publication ou publié
Date
2011
Journal name
Energy Policy
Volume
39
Number
3
Publisher
Elsevier
Pages
1056-1069
Publication identifier
http://dx.doi.org/10.1016/j.enpol.2010.10.047
Metadata
Show full item record
Author(s)
Hervé-Mignucci, Morgan
Mansanet-Bataller, Maria
Chevallier, Julien
Alberola, Emilie
Abstract (EN)
This article studies the price relationships between EU emissions allowances (EUAs) - valid under the EU Emissions Trading Scheme (EU ETS) - and secondary Certified Emissions Reductions (sCERs) - established from primary CERs generated through the Kyoto Protocol's Clean Development Mechanism (CDM). Given the price differences between EUAs and sCERs, financial and industrial operators may benefit from arbitrage strategies by buying sCERs and selling EUAs (i.e. selling the EUAsCER spread) to cover their compliance position as industrial operators are allowed to use sCERs towards compliance with their emissions cap within the European system up to 13.4%. Our central results show that the spread is mainly driven by EUA prices and market microstructure variables and less importantly, as we would expect, by emissions-related fundamental drivers. This might be justified by the fact that the EU ETS remains the greatest source of CER demand to date.
Subjects / Keywords
Emissions Markets; Arbitrage; EUA-sCER Spread
JEL
Q48 - Government Policy
Q57 - Ecological Economics: Ecosystem Services; Biodiversity Conservation; Bioeconomics; Industrial Ecology
Q58 - Government Policy

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