Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS

TLDR: In this paper, the analysis of the interplay between daily carbon, electricity and gas price data with the European Union Emission Trading System (EU ETS) for CO2 emissions is presented.

About: This article is published in Energy Policy.The article was published on 2010-07-01 and is currently open access. It has received 143 citations till now. The article focuses on the topics: Granger causality & European union.

Figures

Figure 1: Spot and Futures Prices during Phase I

Table 2: Causality tests results between CO2, CSS, CDS and unexpected temperature differences

Table 19: Causality test results between gas CDS, and CSS

Figure 5: Causality relationships identified for Phase II of the EU ETS

Table 5: Causality tests results between CO2 and electricity futures prices and the stock market

Table 11: Causality test results between CO2 futures prices and coal

Frequently asked questions

Q1. What have the authors contributed in "Causalities between co2, electricity, and other energy variables during phase i and phase ii of the eu ets" ?

The topic of this article is the analysis of the interplay between daily carbon, electricity and gas price data with the European Union Emission Trading System ( EU ETS ) for CO2 emissions. In a first step the authors have performed Granger causality tests for Phase I of the EU ETS ( January 2005 until December 2007 ) and the first year of Phase II of the EU ETS ( 2008 ). 

Q2. What are the future works mentioned in the paper "Causalities between co2, electricity, and other energy variables during phase i and phase ii of the eu ets" ?

Testing for prior causalities is particularly important in the present case, given that economic theory allows for different possibilities of causal links between electricity, carbon and gas prices and their further determinants such as weather conditions or stock market evolutions. Concerning the futures prices on natural gas, the authors used the front contract price series of the Intercontinental Exchange Futures ( ICE Futures ). The futures prices used for Phase I are the 2007 calendar contract ( electricity provision over one calendar year, in this case 2007 ) while the futures electricity prices for the first year of EU ETS Phase II are the 2009 calendar ones. In concordance with earlier tests with slightly different time series ( see Keppler ( 2009, forthcoming ), the causal relationship runs from the futures market to the spot market.