analysis of policies to reduce oil consumption and greenhouse gas emissions from the us transportation sector abstract even as the us debates an economy wide co 2 cap and trade policy the transportation sector remains a significant oil security and climate change concern transportation alone consumes the majority of the us s imported oil and produces a third of total us greenhouse gas ghg emissions this study examines different sector specific policy scenarios for reducing ghg emissions and oil consumption in the us transportation sector under economy wide co 2 prices the 2009 version of the energy information administration s eia national energy modeling system nems a general equilibrium model of us energy markets enables quantitative estimates of the impact of economy wide co 2 prices and various transportation specific policy options we analyze fuel taxes continued increases in fuel economy standards and purchase tax credits for new vehicle purchases as well as the impacts of combining these policies all policy scenarios modeled fail to meet the obama administration s goal of reducing ghg emissions 14 below 2005 levels by 2020 purchase tax credits are expensive and ineffective at reducing emissions while the largest reductions in ghg emissions result from increasing the cost of driving thereby damping growth in vehicle miles traveled

price determination in the eu ets market theory and econometric analysis with market fundamentals abstract we investigate the price determination of the european union emission allowance eua of the european union emissions trading scheme eu ets we postulate an uncertain permit price and risk averse firms which have the possibility to hedge in the forward market the firms produce final goods abate their emissions and trade permits in the permit market the dependence of the equilibrium permit price on exogenous variables is studied in a permit market model we test our theoretical findings with empirical data from 2005 to 2010 in the eu ets market we use daily forward prices of eua as our dependent variable we use several econometric models with multiple stationary time series to discover that there is a strong relationship between the fundamentals such as german electricity prices and gas and coal prices with the price of eua we find that the eua forward price depends on fundamentals especially on the price of electricity as well as on the gas coal difference in a statistically significant way

integration of carbon risks and opportunities in enterprise risk management systems evidence from australian firms this study addresses managerial perceptions of risks and opportunities related to carbon pricing and emission management and the factors that affect the extent to which carbon related risks and opportunities are integrated into the organisation s formal enterprise risk management erm system we assess the role played by internal governance features resource availability managerial perceptions on competitive pressures and industry type on the inclusion of carbon risks within the erm system based on survey responses from 96 senior managers in australian carbon intensive firms i e firms listed in the 2009 publication of data under section 24 of the national greenhouse and energy reporting nger act 2007 we find that the extent of carbon risk integration is positively associated with the existence of a formal carbon strategy senior management involvement internal audit oversight resource personnel and funds availability and energy sector membership the paper also provides several insights into the perceptions of risks and opportunities confronting an organisation as a result of carbon pricing mechanism

carbon emission reduction the impact on the financial and operational performance of international companies abstract over the last few decades companies operate in an environment in which exercising responsibility is a prerequisite for competing owing to the growing social concern for ethical social and environmental issues the question of the impact of emissions trading on firm competitiveness has acquired special relevance in recent years this research analyzes the impact of the variation in carbon dioxide emissions on financial and operational performance by using international data consisting of 89 companies for the period 2006 2009 the findings show a reduction in emissions that generates a positive impact on financial performance in addition certain control variables are considered such as company size sector growth sustainability index and legal system while a panel data methodology is used as the analysis technique overall this research shows that companies promote greater environmental behaviour in order to obtain higher financial performance nonetheless the findings do not show evidence for operational performance this study contributes to the literature on carbon emission reduction and corporate performance moreover it complements previous literature in the sense that results obtained show a reduction in emissions that generates a positive impact on financial performance

what explains the short term dynamics of the prices of co2 emissions using the vector auto regression var and the vector error correction models vecm this paper analyzes the short term dynamics of the prices of co2 emissions in response to changes in the prices of oil coal natural gas electricity and carbon emission allowances the results show that i a positive shock to the crude oil prices has a negative effect on the co2 allowance prices ii an unexpected increase in the natural gas prices raises the price of co2 emissions iii a positive shock to the prices of the fuel of choice coal has virtually no significant impact on the co2 prices iv there is a clear positive effect of the coal prices on the co2 allowance prices when the electricity prices are excluded from the var system and v a positive shock to the electricity prices reduces the price of the co2 allowances we also find that the energy price shocks have a persistent impact on the co2 allowance prices with the largest effect occurring six months after a shock strikes the effect is particularly strong in the case of the natural gas price shocks additionally we estimate that it takes between 7 3 and 9 6 months to halve the gap between the actual and the equilibrium prices of the co2 allowances i e to erase any price over or undervaluations after a shock strikes finally the empirical findings suggest an important degree of substitution between the three primary sources of energy i e crude oil natural gas and coal particularly when electricity prices are excluded from the var system

how competitive are eu electricity markets an assessment of ets phase ii this paper studies the interactions between electricity and carbon allowance prices in the year ahead energy markets of france germany united kingdom and the nordic countries during phase ii of the eu ets var and granger causality methods are used to analyze causal interfaces whereas the volatility of electricity prices is studied with basic and asymmetric ar garch models among the main results the marginal rate at which carbon prices feed into electricity prices is shown to be ca 135 in the eex and nord pool markets where electricity and carbon prices display bidirectional causality and 109 in the uk therefore generators in these markets internalized the cost of freely allotted emission allowances into their electricity prices considerably more than the proportionate increase in costs justified by effective carbon intensity moreover electricity prices in france are found to granger cause the carbon price this study also shows how european electricity prices are deeply linked to coal prices among other factors both in terms of levels and volatility regardless of the underlying fuel mix and that coal was marginally more profitable than gas for electricity generation eu policies aimed at increasing the carbon price are likely to be crucial in limiting the externalities involved in the transition to a low carbon system

stochastic trade policy with asset markets abstract this paper uses a stockman dellas type two country two good stochastic general equilibrium model to consider the effects of commercial policy when asset markets are complete we show that i import and export tariffs do not have symmetric effects because interstate relative prices depend on the entire tariff structure ii when commercial policy is random and exogenously determined the ex post comparison of utility across states depends upon whether import or export tariffs are used and iii when endowments are random implying the optimal tariff varies across states the introduction of asset markets may be welfare reducing when only import tariffs are used

the market linkage of the volatility spillover between traditional energy price and carbon price on the realization of carbon value of emission reduction behavior abstract establishing a carbon market is widely regarded as an effective means of controlling global carbon emission purchasing carbon emission right will increase the cost of enterprises especially for high energy consumption industry the volatility of carbon market will undoubtedly affect the behavior of these enterprises it has been well recognized that there is significant interaction between the carbon market and the fossil energy crude oil natural gas and coal market this paper employs recurrence plot rp method and recurrence quantification analysis rqa method to investigate the volatility spillover between the three different energy futures markets and carbon emission market the result shows that the volatility spillover between the coal market and carbon emission market is strongest based on this in order to avoid the risk from the carbon emission market industries should switch from coal to natural gas or oil and this behavior will lead to the reduction of carbon emission industries will change their energy consumption structure to a much cleaner one which will reduce air pollutant and the emission of carbon dioxide on the realization of carbon value

wages nonwage job characteristics and labor mobility this paper examines the effects of a set of nonwage job characteristics on the quit decisions of young and middle aged men the data set was constructed by merging data in the national longitudinal surveys of young and mature men with data from the dictionary of occupational titles file and the bureau of economic analysis file on fringe benefits the empirical analysis shows that some nonwage job attributes have significant influence on worker quit behavior and that there are important differences in the effects of the nonwage job characteristics across age groups young men are significantly more likely than older men to quit repetitive jobs for example whereas the presence of bad working conditions is a more important factor in the quit decisions of the older cohort the results also indicate that for the older men fringe benefits have a stronger effect on quit decisions than wages do further evidence on age differences is provided through an analysis of panel data from the quality of employment survey since the time of adam smith the theory of equalizing differences that individuals are induced to accept less attractive jobs by receiving compensating increases in their wages has been used by economists to explain the existence of wage differences in the labor market by definition the theory has important implications for understanding the mobility of labor since an individual s decision to change jobs is based on all the characteristics of a job the wage rate fringe benefits and nonpecuniary job at

research on the dynamic linkage among the carbon emission trading energy and capital markets abstract facing the huge pressure of emission reduction china officially launched a national carbon emission trading system at the end of 2017 the power industry is an important breakthrough in the construction of china s carbon emission trading system to push the optimization of the power structure through carbon constraint is the necessary path to promote the transformation of the power industry from fossil energy to clean and low carbon energy from the perspective of power consumption this paper constructs the linkage mechanism model of china s carbon emission trading market energy market and capital market and applies the dcc mvgarch model to analyze the dynamic linkage mechanism of the three markets the results show that the price fluctuation of the yield series of products in each market has clustering characteristics and the dynamic correlation has significant time varying characteristics and persistent characteristics the dynamic conditional correlation between the carbon emission trading market and the oil market and between the carbon emission trading market and the natural gas market are basically consistent the dynamic correlation coefficient between the carbon emission trading market and the capital market is negative which is related to the unreasonable quota setting in china s carbon emission market on the basis of empirical analysis the optimal balance weight and the optimal hedging ratio of each asset are determined

an empirical analysis of energy cost pass through to co2 emission prices abstract we use the nonlinear autoregressive distributed lag nardl model to analyze the asymmetric and nonlinear pass through effects of changes in crude oil prices natural gas prices coal prices and electricity prices on the co 2 emission allowance prices we find that i the crude oil prices have a long run negative and asymmetric effect on the co 2 allowance prices ii the decreases in the coal prices have a stronger impact on the carbon prices in the short run than the increases iii the natural gas prices and electricity prices have a symmetric effect on the carbon prices but this effect is negative for the former and positive for the latter these findings are robust when using both monthly and daily data and when considering bivariate and multivariate models

commercial policy variability bindings and market access abstract protection unconstrained by rules often varies substantially over time rules based disciplines such as wto tariff bindings and bindings on market access in services constrain this variability we examine the theoretical effects of such constraints on the expected cost of protection and offer a formalization of the concept of market access emphasizing both the first and second moments of the distribution of protection as an illustration we provide a stylized examination of uruguay round bindings on wheat

energy markets volatility modelling using garch abstract this paper investigates the empirical properties of oil natural gas and electricity price volatilities using a range of univariate and multivariate garch models and daily data from wholesale markets in the united states for the period from 2001 to 2013 the key contribution to the literature is the estimation of trivariate bekk and dcc models that allow us to observe spillovers and interactions among energy markets we evaluate and compare the performance of univariate and multivariate models with a range of diagnostic and forecast performance tests and assess forecasting performance and conditional correlation dynamics

risk transmission mechanism between energy markets a var for var approach abstract the global financial crisis gfc of 2007 2009 that originated in the us has revealed the need for measuring and monitoring the transmission of extreme downside market risk this paper investigates the risk transmission mechanism between the oil and natural gas markets we apply the recently introduced test statistics based on cross quantilogram function and the multivariate quantile regression model var for var to the us oil and natural gas prices which are independently formed our results show two asymmetric patterns first the shocks in the oil market substantially increase the value at risk var in the natural gas market but the reverse impact does not exist second we highlight the significant asymmetric response of gains and losses transmission in energy markets cautioning about the underlying weakness of adopting volatility to measure risk in the energy market moreover an extreme market risk is more easily transmitted across markets than moderate risks our results are in general robust in application to other regional energy markets such as europe and asia but the heterogeneities in responses are underpinned by the different role of natural gas in regions the findings in this paper have important implications for academic researchers policy makers in gas dependent economies and business practitioners in light of projected increases in the use of natural gas worldwide as well as the development of independent gas on gas competitive hub prices in asia and europe

information linkage dynamic spillovers in prices and volatility between the carbon and energy markets abstract the european union emissions trading system eu ets has strengthened the information flow and connection between carbon market and energy markets which makes the carbon energy system more complicated this paper investigates information linkages and dynamic spillover effects between the carbon and energy markets we adopt a systemic time series approach to study connectedness in both returns and volatility in the carbon energy system moreover a rolling windows method is used to show the dynamic features empirical results show that brent oil prices play an important role in affecting carbon price changes and risks feedback exists from the carbon market to other energy markets and electricity prices are shown to be the biggest information receiver in the system it is also shown that the level of connectedness in the volatility system is substantially higher than that in the returns system our results can provide useful implications for policymakers to design market mechanisms and market investors to manage their portfolios

asset markets tariffs and political risk abstract this paper examines a simple model in which exogenous political risk creates uncertainty about tariffs the model predicts a relation between consumption and tariffs that differs radically from that implied by models without asset markets or political risk given the probability distribution of tariffs domestic consumption and utility ex post are lower in states of the world with a domestic tariff and no foreign tariff than with a foreign tariff and no domestic tariff this conclusion emerges despite the fact that the opposite would be obtained in the absence of asset markets so economists should not be surprised if observed relations between consumption and tariffs differ from the predictions of static theory in either time series or cross sections

forecasting carbon futures volatility using garch models with energy volatilities abstract this article examines the volatility forecasting abilities of three approaches garch type model that uses carbon futures prices an implied volatility from carbon options prices and the k nearest neighbor model based on the results we document that garch type models perform better than an implied volatility and the k nearest neighbor model this result suggests that carbon options have little information about carbon futures due to their low trading volume we also investigate whether the volatilities of energy markets i e brent oil coal natural gas and electricity forecast following day s carbon futures volatility according to the results we suggest that brent oil coal and electricity may be used to forecast the volatility of carbon futures

dynamic hedge ratio estimations in the european union emissions offset credit market following the introduction of the european union emissions trading scheme in 2005 the size of the carbon market has been growing at a tremendous rate to meet the emissions reduction targets the regulated parties can choose to participate in the allowance based market by purchasing the spot allowances commencing in 2008 the regulated parties are also allowed to purchase the offset credits to meet their allowance limit given the risky nature of the offset credits this paper evaluates the hedging performance of dynamic hedge ratios for the carbon offset credit certified emissions reduction market in the eu ets to the best of our knowledge this paper is the first attempt to evaluate the hedging performance of dynamic and constant hedge ratios in the carbon offset credit market based on the variance reduction and utility improvement measurements the findings generally support the use of static hedge ratios over the more sophisticated dynamic hedge ratios

the impacts of liquidity dynamics on emissions allowances price different evidence from china s emissions trading pilots abstract the liquidities of china s emissions trading markets have significant impacts on emissions allowances price movement and pricing efficiency liquidity measures on illiquidity ratio and trade values indicate hubei emissions allowances hbea product has the highest liquidity shenzhen allowances sza and guangdong emissions allowances gdea products have the higher liquidity than beijing emissions allowances bea and shanghai emissions allowances shea products while tianjin emissions allowances tjea product has the lowest market liquidity in considered china s emissions trading pilots the dynamics of the illiquidity ratios for all selected emissions allowances products are negatively related with emissions allowances returns and trade volumes for bea tjea sza and hbea products are also negatively related with emissions allowances returns the dynamics of daily illiquidity ratios and trade based liquidity in beijing tianjin guangdong shenzhen hubei emissions pilots have significant volatility clustering impacts on the variances of regional emissions allowances returns previous market shocks of overnight and intraday price variations have the more persistent influences on the gdea returns than hbea returns reflecting greater inter day price ranges clustering effect

exchange rate effect on carbon credit price via energy markets abstract this paper examines the impact of currency exchange rates on the carbon market we scrutinize this effect through the european union emission trading scheme eu ets which primarily uses two substitutable fossil energy inputs for the generation of electricity coal and natural gas the european coal market is directly driven by global coal markets that are denominated in usd whereas natural gas is mainly imported from russia and is denominated in euros the impulse response functions of a structural vector autoregression svar model demonstrate that a shock in the euro usd exchange rate can be transmitted through the channel of energy substitution between coal and natural gas and influence on the carbon credit market

evaluating the dynamic performance of energy portfolios empirical evidence from the dea directional distance function abstract in recent years the complex global energy commodity market has led to increased uncertainty for energy investment returns and tremendous challenges for investors to design appropriate energy portfolios therefore we employ four popular portfolio methods to determine energy portfolios based on daily fossil fuel futures prices during 2006 2015 moreover we use the dea window analysis method and dea directional distance function to comprehensively evaluate the dynamic performance of these energy portfolios based on the efficiency perspective the empirical results indicate that first to increase investment returns the mean variance method that exclusively emphasizes the maximization of returns shows the best performance however in order to decrease the volatility and risk of investment returns the mean variance method that aims to resist risk more than make profits and the bootstrap historical simulation value at risk var method have the best performance second when the global financial crisis broke out in the second half of 2008 and energy markets experienced a sharp downturn in the second half of 2014 the dea efficiency of energy portfolios appeared relatively lower than those of their neighboring periods regardless of which portfolio method is employed finally the average dea efficiencies of energy portfolios are all higher than those of single energy investment throughout the sample period except when the equally weighted method and the information entropy comprehensive index method are used meanwhile the mean variance method that prefers profit making to risk resisting possesses the highest average dea efficiency among various methods concerned

the impact of international price shocks on china s nonferrous metal companies a case study of copper copper is one of the most important nonferrous metals for modern society which should be utilized in a sustainable way because of its non renewable nature this paper addresses the relationship between price shocks from the international copper market and china s listed copper companies international copper market price shocks are disentangled into supply shocks aggregate demand shocks and specific demand shocks using the structural vector autoregression method then the asymmetric impact of those shocks on the stock prices of china s listed copper companies is examined the results indicate that demand shocks are the dominant factor influencing copper price fluctuations with their impact on stock prices being significantly higher than those of supply shocks in the long run supply shocks and demand shocks both have significant asymmetric impacts on stock prices while in the short run specific demand shocks have an asymmetric impact on stock prices

optimization analysis of carbon emission rights allocation based on energy justice the case of china abstract carbon emission rights allocation affects the effective operation of carbon trading system and then the achievement of energy saving and emissions reduction objectives reasonable allocation scheme should meet the principle of justice carbon emission rights allocation based on energy justice is a novel and worth discussing subject this paper explores the optimization of carbon emission rights allocation based on energy justice the justice based model is built with the aid of gini coefficient the way to optimize allocation scheme with constraints of population ecological productive land fossil energy resources and gdp is discussed results show that fossil energy resources and ecological productive land play more important role in the allocation the prime example is inner mongolia its quota percentage change reaches up to 150 01 as the gdp and population growth rate are fixed in a given interval the quota allocation in eastern china shows some interesting results when the gdp growth rate is 6 25 the quotas of eastern china will not change with varying population growth rate the allocation will enter a relative stable stage as the population growth rate is greater than or equal to 6 4 these results can provide china with experience to deal with the new problem appeared in carbon trading system like two children policy and the new normal of economic growth

the dynamic volatility spillover between european carbon trading market and fossil energy market abstract with the rapid spread of carbon trading in the world the interaction of carbon prices and fossil energy prices has raised growing attention but little research has discussed their time varying correlation and dynamic volatility spillover this paper employs the threshold dynamic conditional correlation dcc generalized autoregressive conditional heteroscedasticity garch model and the full baba engle kraft and kroner bekk garch model to explore these issues for the daily data of european carbon futures prices and the three fossil energy prices coal natural gas and brent oil from january 2 2008 to september 30 2014 the results indicate that first there is significant unidirectional volatility spillover from coal market to carbon market and from carbon market to natural gas market whereas there exists no significant volatility spillover between carbon market and brent oil market second carbon market and fossil energy markets have significantly positive correlation across time specifically among the three fossil fuels coal market has the highest correlation with carbon market followed by natural gas and brent oil markets finally as for the three fossil fuels their price decrease may have stronger impact on carbon price volatility than their price increase with the same degree while there is asymmetric impact of carbon price increase and decrease only on brent oil price volatility these results may help investors to well configure their portfolios and manage their investment risks and help emission trading installations to join in carbon market in a cost effective way

asymmetric risk spillover between financial market uncertainty and the carbon market a gas dcs copula approach abstract a thorough understanding the asymmetry in risk transferring mechanisms remains a challenge in the carbon market through the incorporation of the asymmetric tail distribution into the risk transferring mechanism the asymmetric response of the carbon market to financial market uncertainties can be explored herein we propose a generalized autoregressive score dynamic conditional score copula model to investigate the asymmetric risk spillover between financial market uncertainty and the carbon market we discover the existence of considerable asymmetric risk spillover from financial market uncertainty to the carbon market specifically the upper tail risk spillover effect is greater than the lower tail risk spillover effect the degree of risk spillover reached a peak during the european debt crisis also higher degrees of financial market uncertainty and especially uncertainty from the crude oil market cause a greater risk spillover to the carbon market than lower degrees of financial market uncertainty do in addition we discover that stock market uncertainty exhibits greater power than crude oil market uncertainty in transferring risk to the carbon market when systemic events occur our research provides meaningful information to investors and policy makers

energy prices and co2 emission allowance prices a quantile regression approach 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