Author: Ziran Li Publisher: ISBN: Category : Languages : en Pages : 10
Book Description
Financialization of carbon market and global economy have made the fluctuation of carbon emission allowance prices vulnerable to international shocks and risk management become more and more complicated for both investors and fossil fuel consumption enterprises. Based on studying the ergodicity of the Granger causality test for different lag-lengths, this paper investigates the return and volatility transmission between carbon futures price and a data set of 19 financial, energy and commodity time series results show that there exists several causal relationships between carbon futures market and financial, energy and commodity futures markets. The connections between carbon futures market and financial markets are especially strong. Despite that spillovers in different phases are different, volatility linkage between carbon futures markets and these markets is closer and stronger than the return linkage in general. Moreover, extreme returns and risks also have significant leading impacts on regular returns and risks.
Author: Yulia Veld-Merkoulova Publisher: Springer ISBN: 331925412X Category : Business & Economics Languages : en Pages : 141
Book Description
Maximizing reader insights into the methodologies and cutting-edge research concerning the financial aspects of carbon markets, this book analyzes the economic and financial effects of carbon trading and regulations on the stock market prices of individual companies as well as the joint effects of regulations and of the prices of oil and gas on the prices and volatility of the traded carbon securities. Focussing on the European Union Emissions Trading Scheme (EU ETS), which is the most developed carbon trading scheme worldwide, the results obtained for the EU ETS are used as a benchmark for the new carbon markets being developed in North America and worldwide. After reading this book, the reader will: • Learn how the European market for carbon emission allowances work; • Be aware of the institutional development of the market and of the regulatory environment of the EU Emissions Trading Scheme; • Get acquainted with the regression methodologies used to evaluate the impact of regulatory and other events on energy and financial markets; • Become familiar with the recent research results on the links between carbon market regulations, energy prices and the returns and volatility of carbon-linked financial instruments and stock market prices; • Get informed about the possibilities of carbon emissions regulations and their impact on financial markets. This book will be instrumental for the market regulators, researchers and advanced students interested in energy finance, and for the finance practitioners and investors in the energy and carbon intensive industries.
Author: Leonardo Martinez-Diaz Publisher: U.S. Commodity Futures Trading Commission ISBN: 057874841X Category : Science Languages : en Pages : 196
Book Description
This publication serves as a roadmap for exploring and managing climate risk in the U.S. financial system. It is the first major climate publication by a U.S. financial regulator. The central message is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and address these risks. Achieving this goal calls for strengthening regulators’ capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the same. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactive—it should provide solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. https://doi.org/10.5281/zenodo.5247742
Author: Bangzhu Zhu Publisher: Springer ISBN: 3319576186 Category : Business & Economics Languages : en Pages : 180
Book Description
This book applies the multidisciplinary approaches of econometrics, statistics, finance and artificial intelligence for pricing and forecasting the carbon market in the context of managerial issues. It explores the related issues of pricing and forecasting the carbon market using theoretical models and empirical analyses, demonstrating how the carbon market, as a policy-based artificial market, is complex and influenced by both the market mechanisms and the external heterogeneous environments. By integrating the features of analytical systems, it offers insights to further our scientific understanding of the pricing mechanism and the variable laws governing the carbon market. Moreover, it lays a foundation for dealing with climate change in China and constructing a national carbon market there. Ultimately, it actively contributes to the energy saving and CO2 emission reduction promoted by the carbon market. The carbon market, represented by the European Union Emissions Trading System (EU ETS), is a cost-effective measure for tackling climate change. Furthermore, pricing and forecasting carbon market has been one of the research focuses in the fields of energy and climate change. As a policy tool of the trading mechanism, the carbon market offers a great institutional innovation for coping with climate change. Due to its multiple advantages including saving costs and environment protection, and political feasibility, more and more countries including China have applied the carbon market for carbon dioxide (CO2) emission reduction. Accurately understanding the pricing mechanism and mastering the fluctuating law of carbon market is essential to build a national carbon market for China.
Author: Gbenga Ibikunle Publisher: Springer ISBN: 3319728474 Category : Business & Economics Languages : en Pages : 243
Book Description
This book explores the microstructure of carbon markets and the pricing of carbon financial instruments generally. It provides a critical microstructure analysis of the EU Emissions Trading Scheme (EU-ETS), and also examines the theoretical and related market design issues affecting emissions trading schemes. Individual chapters analyse how intraday pricing evolves in carbon markets, the price impact of block trades in carbon financial instruments and their determinants, short and long-term liquidity effects in carbon markets, and the links between carbon market liquidity and efficiency. The aforementioned issues are explored using case studies of two major trading platforms operating within the EU-ETS. The book concludes by focusing on future policy and regulatory challenges in carbon markets, especially with respect to addressing pricing volatility challenges.
Author: Nicolas Koch Publisher: ISBN: Category : Languages : en Pages : 38
Book Description
Liberalization of energy sector and the ensuing creation of new markets for carbon emissions have increasingly triggered a need for understanding the volatility and correlation structure between carbon, energy and financial markets. This paper documents the existence of structural changes in correlation patterns among these markets and links the changes to market conditions. We apply a (double) smooth transition conditional correlation ((D)STCC) GARCH model to a set of EU emission allowance futures, energy futures and financial asset returns to investigate the conditional correlation dynamics during the period 2005-2011. The model allows correlation to vary smoothly between extreme states and the dynamics are driven by a transition variable. We use, on the one hand, time as transition variable which allows the correlation level to change over time and the VSTOXX index, on the other hand, to account for uncertainty and volatility in markets. The effects of news on the covariances are examined through news impact surfaces. The results point to a considerable increase of correlations between carbon and energy markets in recent years. We further find higher and more variable correlations between emission allowance futures and financial asset returns during the current financial crisis, predicted by higher expected stock market volatility.
Author: Blas Luis Pérez Henríquez Publisher: Routledge ISBN: 113652178X Category : Nature Languages : en Pages : 298
Book Description
Market-based solutions to environmental problems offer great promise, but require complex public policies that take into account the many institutional factors necessary for the market to work and that guard against the social forces that can derail good public policies. Using insights about markets from the new institutional economics, this book sheds light on the institutional history of the emissions trading concept as it has evolved across different contexts. It makes accessible the policy design and practical implementation aspects of a key tool for fighting climate change: emissions trading systems (ETS) for environmental control. Blas Luis Pérez Henríquez analyzes past market-based environmental programs to extract lessons for the future of ETS. He follows the development of the emissions trading concept as it evolved in the United States and was later applied in the multinational European Emissions Trading System and in sub-national programs in the United States such as the Regional Greenhouse Gas Initiative (RGGI) and California’s ETS. This ex-post evaluation of an ETS as it evolves in real time in the real world provides a valuable supplement to what is already known from theoretical arguments and simulation studies about the advantages and disadvantages of the market strategy. Political cycles and political debate over the use of markets for environmental control make any form of climate policy extremely contentious. Pérez Henríquez argues that, despite ideological disagreements, the ETS approach, or, more popularly, 'cap-and-trade' policy design, remains the best hope for a cost-effective policy to reduce GHG emissions around the world.
Author: George Milunovich Publisher: ISBN: Category : Languages : en Pages : 28
Book Description
We examine the issues of market efficiency and price discovery in the European Union carbon futures market. Our findings suggest that none of the three carbon futures contracts examined here are priced according to the cost-of-carry model, although two of the three contracts form a stable long-run relationship with the spot price and interest rates, and hence act as adequate risk mitigation instruments. In terms of information diffusion between the futures and spot contracts, it appears that the spot and futures markets share information efficiently and contribute to price discovery jointly. However, our analysis suggests that the predominant source of information spillovers appears to be the sign or direction of price change, i.e. return spillover, rather than the magnitude of price change, i.e. volatility spillover.
Author: Stephane Goutte Publisher: World Scientific ISBN: 9813278390 Category : Business & Economics Languages : en Pages : 827
Book Description
Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.
Author: Ziran Li
Author: Yulia Veld-Merkoulova
Author: Leonardo Martinez-Diaz
Author: Bangzhu Zhu
Author: Gbenga Ibikunle
Author: Nicolas Koch
Author: Blas Luis Pérez Henríquez
Author: George Milunovich
Author: Kangyin Dong
Author: Stephane Goutte