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The analysis of EU carbon trading and energy prices using vector error correction model  

Bu, Gi-Duck (Daegu Bank Economic Research Division)
Jeong, Ki-Ho (School of Economics and Trade, Kyungpook National University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.3, 2011 , pp. 401-412 More about this Journal
Abstract
This study uses a vector error correction model to analyze the daily time series data of the spot price of EUA (European Union Allowance). As endogenous variables, five variables are considered for the analysis, including prices of crude oil, natural gas, electricity and coal in addition to carbon price. Data period is Phase 2 period (April 21, 2008 to March 31, 2010) to avoid Phase 1 period (2005-2007) where the EUA prices were distorted. Unit-root and cointegration test results reveal that all variables have a unit root and cointegration vectors exist, so a vector error correction model is adopted instead of a vector autoregressive model.
Keywords
Carbon trading prices; cointegration; unit root; vector error correction model;
Citations & Related Records
Times Cited By KSCI : 4  (Citation Analysis)
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