Download or read book Pricing and Forecasting Carbon Markets written by Bangzhu Zhu and published by Springer. This book was released on 2017-05-09 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Econometric Analysis of Carbon Markets written by Julien Chevallier and published by Springer Science & Business Media. This book was released on 2011-09-21 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Through analysis of the European Union Emissions Trading Scheme (EU ETS) and the Clean Development Mechanism (CDM), this book demonstrates how to use a variety of econometric techniques to analyze the evolving and expanding carbon markets sphere, techniques that can be extrapolated to the worldwide marketplace. It features stylized facts about carbon markets from an economics perspective, as well as covering key aspects of pricing strategies, risk and portfolio management.

Download or read book Price Dynamics in China written by International Monetary Fund and published by International Monetary Fund. This book was released on 2010-09-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chinese inflation, particularly non-food inflation, has been surprisingly modest in recent years. We find that supply factors, including those captured through upstream foreign commodity and producer prices, have been important drivers of non-food inflation, as has foreign demand for Chinese goods. Domestic demand and monetary conditions seem less important, possibly reflecting a large domestic output gap generated by many years of high investment. Inflation varies systemically within China, with richer (and urban) provinces having lower, more stable, inflation, but this urban inflation also influence that in lower-income provinces. Higher Mainland food inflation also raises inflation in non-Mainland China.

Download or read book The Informational Efficiency of the European Carbon Market written by Svetlana Viteva and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the informational efficiency of the European carbon market based on the European Union Emissions Trading Scheme (EU ETS). The issue is approached from three different perspectives. I explore whether the volatility embedded in carbon options is a rational forecast of subsequently realized volatility. Then, I investigate if, and to what extent, new information about the structural and institutional set-up of the market impacts the carbon price dynamics. Lastly, I examine whether the European carbon market is relevant for the firm valuations of covered companies. First, perhaps because the market is new and derivatives' trading on emission allowances has only started recently, carbon options have not yet been extensively studied. By using data on options traded on the European Climate Exchange, this thesis examines an aspect of market efficiency which has been previously overlooked. Market efficiency suggests that, conditional upon the accuracy of the option pricing model, implied volatility should be an unbiased and efficient forecast of future realized volatility (Campbell et al., 1997). Black (1976) implied volatility and implied volatility estimates directly surveyed from market participants are used in this thesis to study the information content of carbon options. Implied volatility is found to be highly informative and directionally accurate in forecasting future volatility. There is no evidence, however, that volatility embedded in carbon options is an unbiased and efficient forecast of future realized volatility. Instead, historical volatility-based forecasts are shown to contain incremental information to implied volatility, particularly for short-term forecasts. In addition, this thesis finds no evidence that directly surveyed implied volatility estimates perform better as a forecast of future volatility relative to Black's (1976) estimates. Second, the market sensitivity to announcements about the organizational and institutional set-up of the EU ETS is re-examined. Despite their importance for the carbon price formation, demand-side announcements and announcements about the post-2012 framework have not yet been researched. By examining a very comprehensive and updated dataset of announcements, this thesis adds to the earlier works of Miclaus et al. (2008), Mansanet-Bataller and Pardo (2009) and Lepone et al. (2011). Market participants are found to rationally incorporate new information about the institutional and regulatory framework of the emissions trading scheme into the carbon price dynamics. However, they seem to be unable to accurately assess the implications of inter-temporal banking and borrowing on pricing futures contracts with different maturities. The impact of macroeconomic conditions on the market responsiveness is investigated by splitting the dataset into subsamples according to two alternative methods: 1) a simple split into pre-crisis and full-crisis time periods, and 2) according to a Bai-Perron structural break test. Evidence is found that in the context of economic slowdown and known allowances oversupply, the relationship between the carbon price and its fundamentals (institutional announcements, energy prices and extreme weather) breaks down. These findings are consistent with the arguments in Hintermann (2010), Keppler and Mansanet-Bataller (2010) and Koop and Tole (2011) that carbon price drivers change in response to the differing context of the individual trading periods. Third, the role of carbon performance in firm valuation is understudied. Since companies were not obliged to disclose their carbon emissions prior to the launch of the EU ETS, there exists little empirical evidence of the effect of carbon performance on market value. Earlier studies of the European carbon market have only focused on the impact of ETS compliance on the profitability and competitiveness of covered companies (e.g. Anger and Oberndorfer, 2008). There is also little research on how the newly available emissions data has altered the carbon performance of companies. This thesis addresses these gaps in the literature by examining the stock price reactions of British and German firms on the day of verified emissions release under the EU ETS over the period 2006 - 2011. An event study is conducted using a Seemingly Unrelated Regressions model to deal with the event clustering present in the dataset. Limited evidence is found that investors use information about the carbon performance of companies in their valuations. The information contained in the carbon emissions reports is shown to be somewhat more important for companies with high carbon-intensive operations. This thesis finds no conclusive evidence that the cap-and-trade programme has been able to provide regulated companies with enough incentives to de-carbonize their operations. The market does not punish companies which continue to emit carbon at increasing rates or reward companies which improve their carbon performance. In brief, the results of the thesis suggest that the market is not fully efficient yet. Inefficiently priced carbon options may allow for arbitrage trades in the market. The inability of investors to incorporate rules on inter-temporal banking and borrowing of allowances across the different trading periods leads to significant price reactions when there should be none. A recessionary economic environment and a known oversupply of emission allowances have led to a disconnect between the carbon price and its fundamental drivers. And, lastly, the signal embedded in the carbon price is not strong enough to invoke investor action and turn carbon performance into a standard component of investment analysis.

Download or read book Carbon Markets written by Gbenga Ibikunle and published by Springer. This book was released on 2018-02-26 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Carbon Finance written by Yulia Veld-Merkoulova and published by Springer. This book was released on 2015-10-31 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Carbon Trading Pricing written by Joost L. M. Kanen and published by . This book was released on 2006 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, written by Joost L M Kanen and published in 2006, is an essential guide to the factors influencing the price of emissions allowances in the EU.

Download or read book Pricing Carbon written by A. Denny Ellerman and published by Cambridge University Press. This book was released on 2010-01-28 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: The European Union's Emissions Trading Scheme (EU ETS) is the world's largest market for carbon and the most significant multinational initiative ever taken to mobilize markets to protect the environment. It will be an important influence on the development and implementation of trading schemes in the US, Japan, and elsewhere. However, as is true of any pioneering public policy experiment, this scheme has generated much controversy. Pricing Carbon provides the first detailed description and analysis of the EU ETS, focusing on the first 'trial' period of the scheme (2005–7). Written by an international team of experts, it allows readers to get behind the headlines and come to a better understanding of what was done and what happened based on a dispassionate, empirically based review of the evidence. This book should be read by anyone who wants to know what happens when emissions are capped, traded, and priced.

Download or read book Estimation and Forecast of Carbon Emission Market Volatility Based on Model Averaging Method written by Yong Li and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The carbon market, as a market operating with carbon emission rights for core trading, plays an important role in reducing the production of greenhouse gases and controlling the risk of climate change caused by environmental pollution but also shows complex and changeable dynamic characteristics. Estimating and predicting the evolution of carbon market volatility can not only provide data for the correct measurement of market risk and calculation of value at risk but also provide instructions for the pricing of carbon-related assets and the construction of investment portfolios. In this paper, based on the EUA carbon futures price series, various GARCH models and SV models are used to describe and forecast various properties of volatility, such as spike and thick tail asymmetry and jump characteristics. Considering the complexity of the model, the model averaging methods are used to infer the whole alternative model space to reduce the uncertainty of volatility prediction, which extends the existing research. The empirical results show that the persistence of EUA carbon market volatility is strong and that there is a certain leverage effect consistent with the characteristics of traditional financial markets. However, different from the traditional financial market, the jump of volatility has expressed characteristics of smaller probability but larger amplitude. The MCS test shows that the model averaging methods present higher prediction accuracy, and the prediction errors are smaller than those of the single model. Instead of blindly selecting a single model for carbon market volatility forecasting, investors should take advantage of model averaging methods to reduce information uncertainty under different loss functions in terms of research purpose and actual needs.

Download or read book Managing Climate Risk in the U S Financial System written by Leonardo Martinez-Diaz and published by U.S. Commodity Futures Trading Commission . This book was released on 2020-09-09 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Download or read book The Poverty and Distributional Impacts of Carbon Pricing Channels and Policy Implications written by Baoping Shang and published by International Monetary Fund. This book was released on 2021-06-25 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Addressing the poverty and distributional impacts of carbon pricing reforms is critical for the success of ambitious actions in the fight against climate change. This paper uses a simple framework to systematically review the channels through which carbon pricing can potentially affect poverty and inequality. It finds that the channels differ in important ways along several dimensions. The paper also identifies several key gaps in the current literature and discusses some considerations on how policy designs could take into account the attributes of the channels in mitigating the impacts of carbon pricing reforms on households.

Download or read book Markets for Carbon and Power Pricing in Europe written by Francesco Gullì and published by Edward Elgar Publishing. This book was released on 2009-01-01 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whether it concerns environmental economics or law and economics, two areas of science in which I feel well at home, publisher Edward Elgar is a front-runner time and again with relevant and solid publications. This time is no exception, with this book edited by Francesco Gullì. Edwin Woerdman, Tijdschrift voor Energierecht Why do power prices seem to be correlated with the carbon price in some markets and not in others? This crucial question is at the centre of Francesco Gullì s enlightening book, through which the contributing authors investigate a number of related issues. In particular, they explore why power firms are not consistent in passing-through into power prices the opportunity cost of carbon. They also examine the relationship between the pass-through mechanism and the structure of the power market. This informative study brings together and interprets original contributions by leading experts from every EU country. Beginning with an overview of the European Union Emissions Trading System (EU ETS) along with an in-depth analysis of the early results and the theoretical issues involved, the book then goes on to explore the main European power markets via a number of empirical case studies. Overall, this volume offers a genuinely comprehensive analysis on the relationship between carbon and power markets and, as such, will prove a valuable contribution to the debate on the EU ETS and to the literature on the interaction between environmental policy and the structure of environmentally regulated markets. Markets for Carbon and Power Pricing in Europe will be of great interest to researchers and academics within general economics, environmental and energy economics. It will also be warmly welcomed by policymakers, regulators and power sector operators.

Download or read book Carbon Markets written by Arnaud Brohé and published by Routledge. This book was released on 2012-05-16 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the Choice Outstanding Academic Titles of 2010 award. This book is a comprehensive and accessible guide to understanding the opportunities offered by regulated and voluntary carbon markets for tackling climate change. Coverage includes: - An overview of the problem of climate change, with a concise review of the most recent scientific evidence in different fields - A highly accessible introduction to the economic theory and different constitutive elements of a carbon allowances market - Explanation of the Kyoto Protocol and its flexibility mechanisms - Explanation of how the EU Emissions Trading Scheme works in practice - Ongoing developments in regulated carbon markets in the US - Up-to-the-minute coverage of regulated carbon markets in Australia - Developments in New Zealand and Japan - Carbon offsetting and voluntary carbon markets. Combining theoretical aspects with practical applications, this book is for business leaders, financiers, carbon traders, lawyers, bankers, researchers, policy makers and anyone interested in market mechanisms to mitigate climate change. The carbon emissions resulting from the production of this book have been calculated, reduced and offset to render the bookcarbon neutral. Published with CO2 Neutral

Download or read book 2009 IEEE Bucharest Power Tech written by IEEE Staff and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Assessment of the International Carbon Market written by Booz, Allen & Hamilton and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an overview of the international carbon market - its underlying structure, dynamics and likely evolution - as well as an analysis of the market forces shaping carbon demand and supply, and the interaction of these dynamics in influencing carbon prices. Consensus forecasts of demand, supply and price are examined, bringing together the analysis of well-known market observers and actors.

Download or read book Carbon Pricing What Role for Border Carbon Adjustments written by Ian W.H. Parry and published by International Monetary Fund. This book was released on 2021-09-27 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Climate Note discusses the rationale, design, and impacts of border carbon adjustments (BCAs), charges on embodied carbon in imports potentially matched by rebates for embodied carbon in exports. Large disparities in carbon pricing between countries is raising concerns about competitiveness and emissions leakage, and BCAs are a potentially effective instrument for addressing such concerns. Design details are critical, however. For example, limiting coverage of the BCA to energy-intensive, trade-exposed industries facilitates administration, and initially benchmarking BCAs on domestic emissions intensities would help ease the transition for emissions-intensive trading partners. It is also important to consider how to apply BCAs across countries with different approaches to emissions mitigation. BCAs are challenging because they pose legal risks and may be at odds with the differentiated responsibilities of developing countries. Furthermore, BCAs provide only modest incentives for other large emitting countries to scale carbon pricing—an international carbon price floor would be far more effective in this regard.

Download or read book Making Climate Policy Work written by Danny Cullenward and published by John Wiley & Sons. This book was released on 2020-10-07 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: For decades, the world’s governments have struggled to move from talk to action on climate. Many now hope that growing public concern will lead to greater policy ambition, but the most widely promoted strategy to address the climate crisis – the use of market-based programs – hasn’t been working and isn’t ready to scale. Danny Cullenward and David Victor show how the politics of creating and maintaining market-based policies render them ineffective nearly everywhere they have been applied. Reforms can help around the margins, but markets’ problems are structural and won’t disappear with increasing demand for climate solutions. Facing that reality requires relying more heavily on smart regulation and industrial policy – government-led strategies – to catalyze the transformation that markets promise, but rarely deliver.