Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/28103

TitleEnergy prices and CO2 emission allowance prices : a quantile regression approach
Author(s)Hammoudeh, Shawkat
Nguyen, Duc Khuong
Sousa, Ricardo M.
KeywordsCO2 allowance price
Energy prices
Quantile regression
Q47
Issue date2014
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Abstract(s)We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electricity prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices.
TypeWorking paper
URIhttp://hdl.handle.net/1822/28103
Publisher versionhttp://www.nipe.eeg.uminho.pt/Uploads/NIPE_WP_06_2014.pdf
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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