EUAs and CERs : Interactions in a Markov regime-switching environment
Chevallier, Julien (2012), EUAs and CERs : Interactions in a Markov regime-switching environment, Economics Bulletin, 32, 1, p. 86-101
TypeArticle accepté pour publication ou publié
Nom de la revueEconomics Bulletin
MétadonnéesAfficher la notice complète
Résumé (EN)This paper analyzes jointly the time series of European Union Allowances (EUAs) and Certified Emissions Reductions (CERs) in a Markov regime-switching environment. The purpose consists in capturing the interactions between the two time series - which have been highlighted in previous literature - with respect to the underlying business cycle. Given the recent period of economic growth and financial crisis, regime switching models appear indeed interesting to shed new light on the data. The main result of the paper features a switch from a low-growth period to a high-growth period in July 2009, in a context of timid economic recovery. Besides, the Markov regime-switching model reveals that significant interactions exist between EUAs (during expansions and recessions) and CERs (mostly during expansions). Colletively, these results could be of use to regulatory authorities, academics and financial agents (investment bankers, analysts, asset managers).
Mots-clésEUA; CER; Markov regime-switching
Affichage des éléments liés par titre et auteur.
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) Article accepté pour publication ou publié