Julien Chevallier

TL;DR: In this paper, the daily price fundamentals of European Union Allowances (EUAs) traded since 2005 as part of the Emissions Trading Scheme (ETS) are analyzed. And the results extend previous literature by showing that EUA spot prices react not only to energy prices with forecast errors, but also to unanticipated temperatures changes during colder events.

TL;DR: In this article, the authors examined the relationship between carbon futures and changes in macroeconomic conditions and found that carbon futures returns may be weakly forecast on the basis of two variables from the stock and bond markets, i.e., the U.S. Treasury bill yields and the excess return on the Reuters/CRB Index.

TL;DR: In this paper, the authors developed a model of carbon pricing by considering two fundamental drivers of European Union Allowances: economic activity and energy prices, and found that industrial production is found to impact positively (negatively) the carbon market during periods of economic expansion (recession), thereby confirming the existence of a link between the macroeconomy and the price of carbon.

TL;DR: In this article, a Hotelling-CAPM-based analysis of the European Union Allowances (EUAs) market is presented, and it is shown that EUA spot prices do not meet equilibrium conditions in the intertemporal permits market.

TL;DR: In this article, the authors studied the price relationship between EU emissions allowances (EUAs) and secondary certified emissions reductions (sCERs) established from primary CERs generated through the Kyoto Protocol's Clean Development Mechanism (CDM).