메뉴 건너뛰기




Volumn 36, Issue , 2013, Pages 312-321

Rockets and feathers in power futures markets? Evidence from the second phase of the EU ETS

Author keywords

Asymmetric pricing; CO2 prices; Error Correction Model; European Emission Trading Scheme; Power prices

Indexed keywords

ASYMMETRIC TRANSMISSIONS; BELGIUM; ELECTRICITY FUTURES; EMISSION TRADING SCHEME; ERROR CORRECTION MODELS; EUROPEAN COUNTRIES; FUEL MARKETS; NETHERLANDS; OUTPUT PRICE; POWER FUTURES; POWER PRICE; PRICE INCREASE; SECOND PHASE; SIMILAR ANALYSIS; STATISTICALLY SIGNIFICANT DIFFERENCE;

EID: 84874317627     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2012.08.028     Document Type: Article
Times cited : (23)

References (71)
  • 3
    • 0242474600 scopus 로고    scopus 로고
    • New evidence on asymmetric gasoline price responses
    • Bachmeier L.J., Griffin J.M. New evidence on asymmetric gasoline price responses. Rev. Econ. Stat. 2003, 85(3):772-776.
    • (2003) Rev. Econ. Stat. , vol.85 , Issue.3 , pp. 772-776
    • Bachmeier, L.J.1    Griffin, J.M.2
  • 4
    • 34547111865 scopus 로고    scopus 로고
    • Investor sentiment in the stock market
    • Baker M., Wurgler J. Investor sentiment in the stock market. J. Econ. Perspect. 2007, 21(2):129-151.
    • (2007) J. Econ. Perspect. , vol.21 , Issue.2 , pp. 129-151
    • Baker, M.1    Wurgler, J.2
  • 6
    • 0041353049 scopus 로고    scopus 로고
    • Equilibrium pricing and optimal hedging in electricity forward markets
    • Bessembinder H., Lemmon M.L. Equilibrium pricing and optimal hedging in electricity forward markets. J. Finance 2002, 57(3):1347-1382.
    • (2002) J. Finance , vol.57 , Issue.3 , pp. 1347-1382
    • Bessembinder, H.1    Lemmon, M.L.2
  • 7
    • 27144479830 scopus 로고    scopus 로고
    • Assessing emission regulation in Europe: an interactive simulation approach
    • Böhringer C., Hoffmann T., Lange A., Löschel A., Moslener U. Assessing emission regulation in Europe: an interactive simulation approach. Energ. J. 2005, 26(4):1-21.
    • (2005) Energ. J. , vol.26 , Issue.4 , pp. 1-21
    • Böhringer, C.1    Hoffmann, T.2    Lange, A.3    Löschel, A.4    Moslener, U.5
  • 8
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev T. Generalized autoregressive conditional heteroskedasticity. J. Econometr. 1986, 31:307-327.
    • (1986) J. Econometr. , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 9
    • 0030726245 scopus 로고    scopus 로고
    • Do gasoline prices respond asymmetrically to crude oil price changes?
    • Borenstein S., Cameron A.C., Gilbert R. Do gasoline prices respond asymmetrically to crude oil price changes?. Q. J. Econ. 1997, 112(1):305-339.
    • (1997) Q. J. Econ. , vol.112 , Issue.1 , pp. 305-339
    • Borenstein, S.1    Cameron, A.C.2    Gilbert, R.3
  • 10
    • 84874336296 scopus 로고    scopus 로고
    • Futures and spot prices - an analysis of the Scandinavian electricity market
    • Botterud A., Bhattacharyya A., Ilic M. Futures and spot prices - an analysis of the Scandinavian electricity market. Working Paper 2002.
    • (2002) Working Paper
    • Botterud, A.1    Bhattacharyya, A.2    Ilic, M.3
  • 11
    • 77956780526 scopus 로고    scopus 로고
    • The relationship between spot and futures prices in the Nord Pool electricity market
    • Botterud A., Kristiansen T., Ilic M. The relationship between spot and futures prices in the Nord Pool electricity market. Energ. Econ. 2010, 32(5):967-978.
    • (2010) Energ. Econ. , vol.32 , Issue.5 , pp. 967-978
    • Botterud, A.1    Kristiansen, T.2    Ilic, M.3
  • 12
    • 38349063080 scopus 로고    scopus 로고
    • Interaction of European carbon trading and energy prices
    • Bunn D.W., Fezzi C. Interaction of European carbon trading and energy prices. FEEM Working Paper 2007.
    • (2007) FEEM Working Paper
    • Bunn, D.W.1    Fezzi, C.2
  • 13
    • 77649189459 scopus 로고    scopus 로고
    • 2 allowances spot and futures prices
    • 2 allowances spot and futures prices. Econ. Model. 2010, 27(3):717-729.
    • (2010) Econ. Model. , vol.27 , Issue.3 , pp. 717-729
    • Chevallier, J.1
  • 14
    • 0013242746 scopus 로고    scopus 로고
    • Nonsymmetric error correction revisited
    • Cook S. Nonsymmetric error correction revisited. Appl. Econ. Lett. 1999, 6:467-470.
    • (1999) Appl. Econ. Lett. , vol.6 , pp. 467-470
    • Cook, S.1
  • 15
    • 0033484411 scopus 로고    scopus 로고
    • The power of tests for non-linearity: the case of Granger-Lee asymmetry
    • Cook S., Holly S., Turner P. The power of tests for non-linearity: the case of Granger-Lee asymmetry. Econ. Lett. 1999, 62:155-159.
    • (1999) Econ. Lett. , vol.62 , pp. 155-159
    • Cook, S.1    Holly, S.2    Turner, P.3
  • 16
    • 0032843967 scopus 로고    scopus 로고
    • DHSY revisited: the role of asymmetries
    • Cook S., Holly S., Turner P. DHSY revisited: the role of asymmetries. Appl. Econ. 1999, 31:775-778.
    • (1999) Appl. Econ. , vol.31 , pp. 775-778
    • Cook, S.1    Holly, S.2    Turner, P.3
  • 17
    • 0005341008 scopus 로고    scopus 로고
    • The power of tests for non-linearity: the Escribano-Pfann model
    • Cook S., Holly S., Turner P. The power of tests for non-linearity: the Escribano-Pfann model. Comput. Econ. 2000, 15:223-226.
    • (2000) Comput. Econ. , vol.15 , pp. 223-226
    • Cook, S.1    Holly, S.2    Turner, P.3
  • 18
    • 0142104187 scopus 로고    scopus 로고
    • Forecasting electricity spot prices using linear univariate time series models
    • Cuaresma J.C., Hlouskova J., Kossmeier S., Obersteiner M. Forecasting electricity spot prices using linear univariate time series models. Appl. Energ. 2004, 77(1):87-106.
    • (2004) Appl. Energ. , vol.77 , Issue.1 , pp. 87-106
    • Cuaresma, J.C.1    Hlouskova, J.2    Kossmeier, S.3    Obersteiner, M.4
  • 20
    • 0012556536 scopus 로고    scopus 로고
    • Stochastic models of energy commodity prices and their applications: mean reversion with jumps and spikes
    • Deng S. Stochastic models of energy commodity prices and their applications: mean reversion with jumps and spikes. University of California Energy Institute Working Paper 2000.
    • (2000) University of California Energy Institute Working Paper
    • Deng, S.1
  • 21
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
    • Engle R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 1982, 50(4):987-1007.
    • (1982) Econometrica , vol.50 , Issue.4 , pp. 987-1007
    • Engle, R.F.1
  • 22
    • 0000013567 scopus 로고
    • Cointegration and error correction: representation, estimation and testing
    • Engle R.F., Granger C.W.J. Cointegration and error correction: representation, estimation and testing. Econometrica 1987, 55(2):251-276.
    • (1987) Econometrica , vol.55 , Issue.2 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 26
    • 84874298567 scopus 로고    scopus 로고
    • Available from, European Energy Exchange
    • European Energy Exchange Determination of settlement prices Available from. http://www.eex.com/en/Download/Documentation.
    • Determination of settlement prices
  • 27
    • 84874304223 scopus 로고    scopus 로고
    • 01/12/12. Accessed on 04/28/12, European Energy Exchange
    • European Energy Exchange EEX review of 2011 2012, 01/12/12. Accessed on 04/28/12.
    • (2012) EEX review of 2011
  • 28
    • 79551578893 scopus 로고    scopus 로고
    • EU ETS and Nordic electricity: a CVAR analysis
    • Fell H. EU ETS and Nordic electricity: a CVAR analysis. Energ. J. 2010, 31(2):1-26.
    • (2010) Energ. J. , vol.31 , Issue.2 , pp. 1-26
    • Fell, H.1
  • 29
    • 84995436142 scopus 로고    scopus 로고
    • Econometric models of asymmetric price transmission
    • Frey G., Manera M. Econometric models of asymmetric price transmission. FEEM Working Paper 2005.
    • (2005) FEEM Working Paper
    • Frey, G.1    Manera, M.2
  • 30
    • 0037366536 scopus 로고    scopus 로고
    • Rockets and feathers revisited: an international comparison on European gasoline markets
    • Galeotti M., Lanza A., Manera M. Rockets and feathers revisited: an international comparison on European gasoline markets. Energ. Econ. 2003, 25:175-190.
    • (2003) Energ. Econ. , vol.25 , pp. 175-190
    • Galeotti, M.1    Lanza, A.2    Manera, M.3
  • 31
    • 0040198538 scopus 로고
    • Temporal aggregation in the multiple regression model
    • Geweke J. Temporal aggregation in the multiple regression model. Econometrica 1978, 46(3):643-661.
    • (1978) Econometrica , vol.46 , Issue.3 , pp. 643-661
    • Geweke, J.1
  • 32
    • 30344488281 scopus 로고    scopus 로고
    • Understanding electricity price volatility within and across markets
    • Goto M., Karolyi G.A. Understanding electricity price volatility within and across markets. Dice Center Working Paper 2004.
    • (2004) Dice Center Working Paper
    • Goto, M.1    Karolyi, G.A.2
  • 33
    • 33750168291 scopus 로고    scopus 로고
    • Asymmetric error correction models for the oil-gasoline price relationship
    • Grasso M., Manera M. Asymmetric error correction models for the oil-gasoline price relationship. Energ. Policy 2007, 35:156-177.
    • (2007) Energ. Policy , vol.35 , pp. 156-177
    • Grasso, M.1    Manera, M.2
  • 34
    • 84874298569 scopus 로고    scopus 로고
    • Evaluating emission trading as a policy tool - evidence from conditional jump models
    • Gronwald M., Ketterer J. Evaluating emission trading as a policy tool - evidence from conditional jump models. CESiFO Working Paper 2009.
    • (2009) CESiFO Working Paper
    • Gronwald, M.1    Ketterer, J.2
  • 35
    • 33748193812 scopus 로고    scopus 로고
    • A regime switching long memory model for electricity prices
    • Haldrup N., Nielsen M.O. A regime switching long memory model for electricity prices. J. Econometr. 2006, 135(1-2):349-376.
    • (2006) J. Econometr. , vol.135 , Issue.1-2 , pp. 349-376
    • Haldrup, N.1    Nielsen, M.O.2
  • 36
    • 73149087455 scopus 로고    scopus 로고
    • Allowance price drivers in the first phase of the EU ETS
    • Hintermann B. Allowance price drivers in the first phase of the EU ETS. J. Environ. Econ. Manag. 2010, 59:43-56.
    • (2010) J. Environ. Econ. Manag. , vol.59 , pp. 43-56
    • Hintermann, B.1
  • 37
    • 79958094954 scopus 로고    scopus 로고
    • Market power, permit allocation and efficiency in emission permit markets
    • Hintermann B. Market power, permit allocation and efficiency in emission permit markets. Environ. Resour. Econ. 2011, 49:327-349.
    • (2011) Environ. Resour. Econ. , vol.49 , pp. 327-349
    • Hintermann, B.1
  • 38
    • 84874311602 scopus 로고    scopus 로고
    • Available from, Intercontinental Exchange
    • Intercontinental Exchange ICE ECX contracts: EUAs and CERs user guide Available from. https://www.theice.com/publicdocs/ICE_ECX_user_guide.pdf.
    • ICE ECX contracts: EUAs and CERs user guide
  • 39
    • 80053433183 scopus 로고    scopus 로고
    • International Energy Agency, Paris, International Energy Agency
    • 2 emissions from fuel combustion 2011, International Energy Agency, Paris.
    • (2011) 2 emissions from fuel combustion
  • 40
    • 0003883734 scopus 로고    scopus 로고
    • International Energy Agency, Paris, International Energy Agency
    • International Energy Agency Electricity Information 2011, International Energy Agency, Paris.
    • (2011) Electricity Information
  • 42
    • 84858279053 scopus 로고    scopus 로고
    • The term structure of illiquidity premia
    • Kempf A., Korn O., Uhrig-Homburg M. The term structure of illiquidity premia. J. Bank. Financ. 2012, 36(5):1381-1391.
    • (2012) J. Bank. Financ. , vol.36 , Issue.5 , pp. 1381-1391
    • Kempf, A.1    Korn, O.2    Uhrig-Homburg, M.3
  • 43
    • 77953685575 scopus 로고    scopus 로고
    • 2, electricity and other energy variables during phase I and phase II of the EU ETS
    • 2, electricity and other energy variables during phase I and phase II of the EU ETS. Energ. Policy 2010, 38:3329-3341.
    • (2010) Energ. Policy , vol.38 , pp. 3329-3341
    • Keppler, J.H.1    Mansanet-Bataller, M.2
  • 44
    • 84874326297 scopus 로고    scopus 로고
    • The EU Emission Trading Scheme. Insights from the first trading years with a focus on price volatility
    • Kettner C., Köppl A., Schleicher S. The EU Emission Trading Scheme. Insights from the first trading years with a focus on price volatility. WIFO Working paper 2010.
    • (2010) WIFO Working paper
    • Kettner, C.1    Köppl, A.2    Schleicher, S.3
  • 45
    • 23944453109 scopus 로고    scopus 로고
    • An empirical examination of restructured electricity prices
    • Knittel C.R., Roberts M.R. An empirical examination of restructured electricity prices. Energ. Econ. 2005, 27(5):791-817.
    • (2005) Energ. Econ. , vol.27 , Issue.5 , pp. 791-817
    • Knittel, C.R.1    Roberts, M.R.2
  • 46
    • 0000181737 scopus 로고
    • The jackknife and the bootstrap for general stationary observations
    • Kunsch H.R. The jackknife and the bootstrap for general stationary observations. Ann. Stat. 1989, 17(3):1217-1241.
    • (1989) Ann. Stat. , vol.17 , Issue.3 , pp. 1217-1241
    • Kunsch, H.R.1
  • 47
    • 33645959511 scopus 로고    scopus 로고
    • On pollution permit banking and market power
    • Liski M., Montero J. On pollution permit banking and market power. J. Regul. Econ. 2006, 29:283-302.
    • (2006) J. Regul. Econ. , vol.29 , pp. 283-302
    • Liski, M.1    Montero, J.2
  • 48
    • 4344591747 scopus 로고    scopus 로고
    • Electricity forward prices: a high-frequency empirical analysis
    • Longstaff F.A., Wang A.W. Electricity forward prices: a high-frequency empirical analysis. J. Finance 2004, 59(4):1877-1900.
    • (2004) J. Finance , vol.59 , Issue.4 , pp. 1877-1900
    • Longstaff, F.A.1    Wang, A.W.2
  • 49
    • 0002378331 scopus 로고
    • Critical values for cointegration tests
    • Oxford University Press, Oxford, R.F. Engle, C.W.J. Granger (Eds.)
    • Mackinnon J.G. Critical values for cointegration tests. Long-Run Economic Relationships 1991, 267-276. Oxford University Press, Oxford. R.F. Engle, C.W.J. Granger (Eds.).
    • (1991) Long-Run Economic Relationships , pp. 267-276
    • Mackinnon, J.G.1
  • 50
    • 11344284955 scopus 로고    scopus 로고
    • Asymmetric price transmission: a survey
    • Meyer J., von Cramon-Taubadel S. Asymmetric price transmission: a survey. J. Agric. Econ. 2004, 55(3):581-611.
    • (2004) J. Agric. Econ. , vol.55 , Issue.3 , pp. 581-611
    • Meyer, J.1    von Cramon-Taubadel, S.2
  • 52
    • 77956469722 scopus 로고    scopus 로고
    • Measuring the impact of carbon allowance trading on energy prices
    • Nazifi F., Milunovich G. Measuring the impact of carbon allowance trading on energy prices. Energ. Environ. 2010, 21(5):367-383.
    • (2010) Energ. Environ. , vol.21 , Issue.5 , pp. 367-383
    • Nazifi, F.1    Milunovich, G.2
  • 53
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey W., West K.D. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 1987, 55(3):703-708.
    • (1987) Econometrica , vol.55 , Issue.3 , pp. 703-708
    • Newey, W.1    West, K.D.2
  • 55
    • 33947538786 scopus 로고    scopus 로고
    • Costs and competitiveness effects of the European Emission Trading Scheme
    • Oberndorfer U., Rennings K. Costs and competitiveness effects of the European Emission Trading Scheme. Eur. Environ. 2007, 17:1-17.
    • (2007) Eur. Environ. , vol.17 , pp. 1-17
    • Oberndorfer, U.1    Rennings, K.2
  • 56
    • 0033853072 scopus 로고    scopus 로고
    • Prices rise faster than they fall
    • Peltzmann S. Prices rise faster than they fall. J. Polit. Econ. 2000, 108(3):466-502.
    • (2000) J. Polit. Econ. , vol.108 , Issue.3 , pp. 466-502
    • Peltzmann, S.1
  • 58
    • 62949165438 scopus 로고    scopus 로고
    • Price formation in electricity forward markets and the relevance of systematic forecast errors
    • Redl C., Haas R., Huber C., Böhm B. Price formation in electricity forward markets and the relevance of systematic forecast errors. Energ. Econ. 2009, 31:356-364.
    • (2009) Energ. Econ. , vol.31 , pp. 356-364
    • Redl, C.1    Haas, R.2    Huber, C.3    Böhm, B.4
  • 60
    • 84874303712 scopus 로고    scopus 로고
    • Empirical regularities of asymmetric pricing in the gasoline industry
    • Department of Economics, Johns Hopkins University
    • Remer M. Empirical regularities of asymmetric pricing in the gasoline industry. Manuscript 2010, Department of Economics, Johns Hopkins University.
    • (2010) Manuscript
    • Remer, M.1
  • 61
    • 84874327310 scopus 로고    scopus 로고
    • An empirical investigation of the determinant of asymmetric pricing
    • Department of Economics, Johns Hopkins University
    • Remer M. An empirical investigation of the determinant of asymmetric pricing. Manuscript 2010, Department of Economics, Johns Hopkins University.
    • (2010) Manuscript
    • Remer, M.1
  • 63
    • 84871210118 scopus 로고    scopus 로고
    • The fate of the EU carbon market hangs in the balance
    • (Apr.12). Available from:
    • van Renssen S. The fate of the EU carbon market hangs in the balance. Eur. Energ. Rev. 2012, (Apr.12). Available from: http://www.europeanenergyreview.eu/site/pagina.php?id=3642#artikel_3642.
    • (2012) Eur. Energ. Rev.
    • van Renssen, S.1
  • 66
    • 80755168741 scopus 로고    scopus 로고
    • Short-term electricity price forecasting with time series models: a review and evaluation
    • Instytut Elektroenergetyki Politechniki Łódzkiej, Warsaw, W. Mielczarski (Ed.)
    • Weron R., Misiorek A. Short-term electricity price forecasting with time series models: a review and evaluation. Complex Electricity Markets 2006, 231-254. Instytut Elektroenergetyki Politechniki Łódzkiej, Warsaw. W. Mielczarski (Ed.).
    • (2006) Complex Electricity Markets , pp. 231-254
    • Weron, R.1    Misiorek, A.2
  • 67
    • 0000095552 scopus 로고
    • A heteroskedasticity-consistent covariance matrix estimator and a direct test of heteroskedasticity
    • White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test of heteroskedasticity. Econometrica 1980, 48(4):817-838.
    • (1980) Econometrica , vol.48 , Issue.4 , pp. 817-838
    • White, H.1
  • 68
    • 84874301527 scopus 로고    scopus 로고
    • Asymmetric cost pass-through in supply function equilibria, coordinating bids in power spot markets
    • Wölfing N. Asymmetric cost pass-through in supply function equilibria, coordinating bids in power spot markets. ZEW Working Paper 2009.
    • (2009) ZEW Working Paper
    • Wölfing, N.1
  • 69
    • 18744390324 scopus 로고    scopus 로고
    • Transmission of price and volatility in the Australian electricity spot markets: a multivariate GARCH analysis
    • Worthington A.C., Kay-Spratley A., Higgs H. Transmission of price and volatility in the Australian electricity spot markets: a multivariate GARCH analysis. Energ. Econ. 2005, 27(2):337-350.
    • (2005) Energ. Econ. , vol.27 , Issue.2 , pp. 337-350
    • Worthington, A.C.1    Kay-Spratley, A.2    Higgs, H.3
  • 70
    • 43849085501 scopus 로고    scopus 로고
    • First evidence of asymmetric cost pass-through of EU emission allowances: examining wholesale electricity prices in Germany
    • Zachmann G., von Hirschhausen C. First evidence of asymmetric cost pass-through of EU emission allowances: examining wholesale electricity prices in Germany. Econ. Lett. 2008, 99:465-469.
    • (2008) Econ. Lett. , vol.99 , pp. 465-469
    • Zachmann, G.1    von Hirschhausen, C.2
  • 71
    • 77950857971 scopus 로고    scopus 로고
    • An overview of current research on EU ETS: evidence from its operating mechanism and economic effect
    • Zhang Y., Wei Y. An overview of current research on EU ETS: evidence from its operating mechanism and economic effect. Appl. Energ. 2010, 87(6):1804-1814.
    • (2010) Appl. Energ. , vol.87 , Issue.6 , pp. 1804-1814
    • Zhang, Y.1    Wei, Y.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.