Show simple item record

EUAs and CERs : Interactions in a Markov regime-switching environment

dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2012-01-24T14:58:53Z
dc.date.available2012-01-24T14:58:53Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7938
dc.language.isoenen
dc.subjectEUAen
dc.subjectCERen
dc.subjectMarkov regime-switchingen
dc.subject.ddc333en
dc.subject.classificationjelQ4en
dc.subject.classificationjelC1en
dc.titleEUAs and CERs : Interactions in a Markov regime-switching environmenten
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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).en
dc.relation.isversionofjnlnameEconomics Bulletin
dc.relation.isversionofjnlvol32en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages86-101en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherEconomics Bulletinen
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


Files in this item

Thumbnail
Name:
EB-12-V32-I1-P10.pdf
Size:
259.0Kb
Format:
PDF
View/Open

This item appears in the following Collection(s)

Show simple item record