Lutz, Benjamin Johannes
[VerfasserIn]
;
Pigorsch, Uta
[Sonstige Person, Familie und Körperschaft];
Rotfuss, Waldemar
[Sonstige Person, Familie und Körperschaft]
Erschienen in:ZEW - Centre for European Economic Research Discussion Paper ; No. 13-001
Umfang:
1 Online-Ressource (24 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2198942
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2013 erstellt
Beschreibung:
In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over time. In particular, we are able to identify a low and a high volatility regime, both showing a strong impact of the fundamentals on the EUA price. The high volatility regime is predominant during the recession of 2008 and 2009 - a time period in which the actual emissions sharply decreased due to the economic crisis