Structural Breaks in Emission Allowance Prices

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2017 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Peter Molnar; Sven Thies;

doi: 10.2139/ssrn.2987732 , 10.1109/eem.2017.7981981

Structural Breaks in Emission Allowance Prices

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Abstract

We study structural breaks in the European Union Trading System's emission allowance price process during Phase II and Phase III, covering the years 2008 to 2016. We find that there is a structural break between Phase II and Phase III. However, there are several regimes within each of these phases. We find that the high-volatility regimes usually exhibit negative average returns, whereas the low-volatility regimes usually exhibit zero or positive average returns.

Related Organizations

University of Bremen
Germany
University of Stavanger
Norway

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