interaction among china carbon emission trading markets nonlinear granger causality and time varying effect abstract china makes great efforts to reduce carbon emissions and mitigate global greenhouse gas in order to identify the interaction among china cet markets this paper comprehensively investigates nonlinear granger causality and time varying effect in markets by using the hiemstra and jones hj test diks and panchenko dp test and time varying parameter structure vector autoregressive tvp svar model the empirical analysis has demonstrated china major cet markets significantly bidirectional nonlinear granger cause each other as to time varying effect we have obtained convincing findings that time varying impulse responses are among china major cet markets in the short term specifically guangdong hubei and shenzhen cet markets are time varying co movement negatively or positively related to each other over time implying there are deep bases for china national cet market construction furthermore the specific time point impulse effects support our discoveries in time varying impulse responses

inflation and world equity selection although much has been written about inflation and stock returns in the united states and the united kingdom little is known about the impact of inflation on a broader menu of countries consistent with previous research examining time series of inflation and stock returns in the united states this study of inflation in 41 developed and emerging equity markets documents a significant negative relation for most countries cross sectional analysis however indicates that inflation as a country attribute commands a positive premium this finding suggests that inflation reveals information about risk exposure supporting the risk interpretation the correlation between a country s inflation rate and the oecd rate of inflation is positively related to the country s equity return correlation with world market returns further equity volatility is positively linked to average inflation rates more than 50 percent of the cross sectional variation in average inflation rates can be accounted for by country cr

stock returns inflation and the phillips curve in recent years the negative relation between stock returns and inflation has been rigorously investigated studies by lintner 25 bodie 1 jaffee and mandelker 21 nelson 28 fama and schwert 11 and gultekin 17 to name but a few consistently show that stock returns are negatively associated with inflation if associated at all and conclude that the fisher hypothesis does not hold for stocks explanations for this finding are equally abundant for instance fama 10 postulates that the observed negative association is largely a spurious phenomenon a conclusion he justifies by maintaining that it is consistent with a simple money demand quantity theory world geske and roll 15 extend this line of thought by developing a more complex macro economic model that includes such items as unemployment corporate earnings and government financing following a somewhat different approach ram and spencer 32 reexamine fama s work by augmenting the fisher equation to include the phillips curve hypothesis they conclude that there is a positive association between inflation and real activity and a negative relationship between real stock returns and real activity a position that contradicts fama s findings a problem common to the above explanations is that a general equilibrium framework is not employed the purpose of this study therefore is to further develop this work by examining the relationships among real stock returns inflation and unemployment using a general equilibrium model a nonspurious negative relation of real interest and inflation is employed that is based on the levi and makin studies 23 24 it is shown that the natural rate of unemployment phenomenon which causes the phillips curve to shift also simultaneously causes the real interest rate inflation relation to shift using this framework the hypothesis that the real stock return inflation relation shifts concurrently with the phillips curve is empirically tested the hypothesis is not rejected this suggests that the usual simple regression of stock returns on inflation is misspecified so that the slope estimate is not as steep as the true one the plan of the paper is as follows the concurrency of the shift in the real interestinflation relation and the phillips curve is demonstrated in the next section in section iii the shift in the phillips curve is tested by the brown durbin and evans method 3 then using dummy variables to represent the shifting phenomenon of the phillips curve empirical

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

stock market returns and inflation evidence from other countries this paper investigates the relation between common stock returns and inflation in twenty six countries for the postwar period our results do not support the fisher hypothesis which states that real rates of return on common stocks and expected inflation rates are independent and that nominal stock returns vary in one to one correspondence with expected inflation there is a consistent lack of positive relation between stock returns and inflation in most of the countries

unexpected inflation and bank stock returns the case of france 1977 1991 abstract this paper evaluates the impact of unexpected inflation on the stock returns of a sample of french banks it offers an empirical test of theories that have predicted an impact of inflation on the stock returns of banks the paper complements a large literature that has focused exclusively on the impact of unexpected interest rates the analysis provides empirical support to the hypothesis that in periods of volatile inflation there exists an inflation risk factor which is independent of the well documented interest rate factor

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

an econometric analysis of emission allowance prices knowledge of the statistical distribution of the prices of emission allowances and their forecastability are crucial in constructing among other things purchasing and risk management strategies in the emissions constrained markets this paper analyzes the two emission permits markets co2 in europe and so2 in the us and investigates a model for dealing with the unique stylized facts of this type of data its effectiveness in terms of model fit and out of sample value at risk forecasting as compared to models commonly used in risk forecasting contexts is demonstrated

the response of the beijing carbon emissions allowance price bjc to macroeconomic and energy price indices in 2013 china opened pilot carbon emission trading markets in seven provinces where carbon emission allowances have now been traded for more than two years in this paper we employ a structural var model and the price of the beijing carbon emission allowance to study the dynamic relationships among the price of the carbon emission allowance economic development and the price of energy this paper s data cover the period from april 2 2014 to november 6 2015 this paper provides information that will be helpful to both investors and governmental policy makers the results show that 1 an increase of one standard deviation in the coal price leads to an initial increase of approximately 0 1 in the beijing carbon price after 2 days there is a decrease of less than 0 1 and the price gradually increases by approximately 0 1 after 30 days 2 the price of the beijing carbon emission allowance is mainly affected by its own historical price 3 the beijing carbon emission allowance price crude oil price natural gas price and economic development have positive albeit non significant correlations

stock returns inflationary expectations and real activity this paper tests the fisher hypothesis that real stock returns are independent of inflationary expectations on data for the finnish economy a significant negative relationship is found when stock returns are regressed on the rate of inflation a possible explanation is that higher inflation may proxy a drop in the money demand induced by a lower growth in real activity which simultaneously implies a drop in expected future profits and thus a drop in stock prices to test this hypothesis actual growth in real activity is included in the regression equation for aggregate stock returns significant negative coefficients are however still obtained for expected as well as unexpected inflation it is further shown that these relations are quite insensitive to the specification of the expectations formation mechanism

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

stock returns and inflation evidence from quantile regressions abstract the relationship between stock returns and inflation is examined for the g7 countries and some positive coefficients in the distribution for italy and the uk were revealed a positive one for one relationship is found once a garch filter is employed in all cases except canada

a quantile framework for analysing the links between inflation uncertainty and inflation dynamics across countries in contrast to the conventional conditional mean approaches this study uses quantile regression techniques to present some new statistical evidence on the links between inflation uncertainty and the level of inflation with cross sectional data from 90 countries during the period 1961 to 2006 the results suggest that positive inflation shocks have stronger impact on inflation uncertainty which varies across the quantiles furthermore popular time series models are evaluated for their ability to reproduce measures of uncertainty and indicate similar results regarding the relationships between inflation and inflation uncertainty

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

asymmetric and nonlinear pass through of crude oil prices to gasoline and natural gas prices in this article we use the recently developed nonlinear autoregressive distributedlags nardl model to examine the pass through of crude oil prices into gasoline and natural gas prices our approach allowsus to simultaneously test the short and long run nonlinearities through positive and negative partial sum decompositions of the predetermined explanatory variables it also offers the possibility to quantify the respective responses of gasoline and natural gas prices to positive and negative oil price shocks from the asymmetric dynamic multipliers the obtained results indicate that oil prices affect gasoline prices and natural gas prices in an asymmetric and nonlinear manner but the price transmission mechanism is not the same important policy implications can be learned from the empirical findings

the relation between stock prices and inflationary expectations the international evidence this paper provides empirical evidence on the relation between stock returns and inflationary expectations for nine countries over the period 1971 80 the fisherian assumption that real returns are independent of inflationary expectations is soundly rejected for each major stock market of the world using interest rates as a proxy for expected inflation our data provide consistent support for the geske and roll model whose basic hypothesis is that stock price movements signal negative revisions in inflationary expectations finally a weak real interest rate effect was found for some of these countries

price drivers and structural breaks in european carbon prices 2005 2007 this article aims at characterizing the daily price fundamentals of european union allowances euas traded since 2005 as part of the emissions trading scheme ets the presence of two structural changes on april 2006 following the disclosure of 2005 verified emissions and on october 2006 following the european commission announcement of stricter phase ii allocation allows to isolate distinct fundamentals evolving overtime the results extend previous literature by showing that eua spot prices react not only to energy prices with forecast errors but also to unanticipated temperatures changes during colder events besides the sub period decomposition of the pilot phase gives a better grasp of institutional and market events that drive allowance price changes

pricing capital assets in an international setting an introduction this paper shows how differences across countries of 1 inflation rates 2 consumption baskets of investors and 3 investment opportunity sets of investors matter when one applies capital asset pricing models in an international setting in particular the fact that countries differ is shown to affect the portfolio held by investors the equilibrium expected returns of risky assets and the financial policies of firms

allowance price drivers in the first phase of the eu ets abstract in the first phase of the eu emissions trading scheme eu ets the price per ton of co 2 initially rose to over 30 the price then collapsed to essentially zero by mid 2007 by deriving a structural model of the allowance price under the assumption of efficient markets i examine the extent to which this variation in price can be explained by marginal abatement costs i then gradually relax the model by allowing for delayed adjustment of price to fundamentals as well as by introducing lagged lhs variables the pattern of results suggests that while prices were not initially driven by marginal abatement costs this inefficiency was largely corrected after the accounting of 2005 emissions in april 2006

monetary regimes and the relation between stock returns and inflationary expectations this paper analyzes the impact of changes in monetary policy regimes on the relation between stock returns and changes in expected inflation post war evidence from four countries reveals a direct link between these relations and the central banks operating targets i e money supply or interest rates specifically the post war negative relations between stock returns and changes in expected inflation are significantly stronger during interest rate regimes

modeling the price dynamics of co2 emission allowances abstract in this paper we analyze the short term spot price behavior of carbon dioxide co 2 emission allowances of the new eu wide co 2 emissions trading system eu ets after reviewing the stylized facts of this new class of assets we investigate several approaches for modeling the returns of emission allowances due to different phases of price and volatility behavior in the returns we suggest the use of markov switching and ar garch models for stochastic modeling we examine the approaches by conducting an in sample and out of sample forecasting analysis and by comparing the results to alternative approaches our findings strongly support the adequacy of the models capturing characteristics like skewness excess kurtosis and in particular different phases of volatility behavior in the returns

the fisher hypothesis and the interaction between share returns inflation and supply shocks abstract recent tests reject the fisher hypothesis even when expected income growth is accommodated in the estimates this paper suggests that the coefficient of expected inflation is biased downwards when supply shock variables are omitted from standard tests of the fisher hypothesis because they simultaneously affect inflation and real profits using data for 16 oecd countries over the past four decades it is shown that the fisher hypothesis cannot be rejected when supply shock variables are accommodated in the estimates

car ownership and use in britain a comparison of the empirical results of alternative cointegration estimation methods and forecasts this paper addresses two problems faced by many forecasters in the transport sector namely how to use a relatively small sample to forecast car ownership over a long period of time and avoid the difficulties caused by spurious or nonsense regressions five alternative estimation methods are used to test for cointegrating relationships between per capita car ownership and use and real per capita personable disposable income real motoring costs and real bus fares these are the engle granger two stage the phillips hansen fully modified the wickens breusch one stage the autoregressive distributed lag and the johansen maximum likelihood methods the corresponding error correction models are estimated and a comparison made between the derived short and long run demand elasticities for car ownership and use the ex post forecasting performance of the error correction models together with an arima model specification is evaluated using a number of performance criteria the long range time series fore

econometric models of asymmetric price transmission abstract in this paper we review the existing empirical literature on price asymmetries in commodities providing a way to classify and compare different studies that are highly heterogeneous in terms of econometric models type of asymmetries and empirical findings relative to the previous literature this paper is novel in several respects first it presents a detailed and updated survey of the existing empirical contributions on price asymmetries in the transmission mechanism linking input prices to output prices second this paper presents an extension of the traditional distinction between long run and short run asymmetries to new categories of asymmetries such as contemporaneous impact distributed lag effect cumulated impact reaction time equilibrium and momentum equilibrium adjustment path regime effect regime equilibrium adjustment path each empirical study is then critically discussed in the light of this new classification of asymmetries third this paper evaluates the relative merits of the most popular econometric models for price asymmetries namely autoregressive distributed lags partial adjustments error correction models regime switching and vector autoregressive models finally we use the meta regression analysis to investigate whether the results of asymmetry tests are not model invariant and find which additional factors systematically influence the rejection of the null hypothesis of symmetric price adjustment the main results of our survey can be summarized as follows i each econometric model is specialized to capture a subset of asymmetries ii each asymmetry is better investigated by a subset of econometric models iii the general significance of the f test for asymmetric price transmission depends mainly on characteristics of the data dynamic specification of the econometric model and market characteristics overall our empirical findings confirm that asymmetry in all its forms is very likely to occur in a wide range of markets and econometric models

linear and nonlinear granger causality investigation between carbon market and crude oil market a multi scale approach abstract this paper investigates the causality between carbon market and crude oil market using a multi scale analysis approach in which two main steps are involved multi scale analysis and causality testing in multi scale analysis bivariate empirical mode decomposition bemd is employed to decompose the two series of market returns at different time scales in causality testing a linear and nonlinear integrated granger test is formulated to investigate the relationship among each pair of matched components on a similar time scale with the european union emission allowance eua futures and brent futures as study samples some interesting findings can be obtained 1 at the original data level without multi scale decomposition this study finds evidence supporting a neutrality hypothesis i e no granger causality between the carbon and crude oil markets 2 on small time scale within one week excluding non work days the two markets might be uncorrelated and driven by their own respective supply demand disequilibriums 3 for medium time scale above one week but below one year there is a strong bi directional linear and nonlinear spillover effect between the two markets due to certain extra factors with medium term effects e g significant events and policy changes 4 for long time scale the long term trends of the two markets appear an obvious linear relationship

multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets abstract in a first step we model the multivariate tail dependence structure and spillover effects across energy commodities such as crude oil natural gas ethanol heating oil coal and gasoline using canonical vine c vine copula and c vine conditional value at risk covar in the second step we formulate portfolio strategies based on different performance measures to analyze the risk reduction and diversification potential of carbon assets for energy commodities we identify greater exposure to losses arising from investments in heating oil and ethanol markets we also find evidence of carbon asset providing diversification benefits to energy commodity investments these findings motivate for regulatory adjustments in the trading and emission permits for the energy markets most strongly diversified by carbon assets

the effect of inflation on stock prices international evidence paper presented at the september l980 meetings of the american economic and american finance associations in denver colorado

the information content of municipal bond rating changes a note municipal bond rating changes have positive social value if they signal previously unavailable information on changes in municipal financial soundness weinstein 11 has found that rating changes for corporate bonds do not appear to contain relevant new information his finding is consistent with that of pinches and singleton 7 that stock price adjustments occurred several months prior to a corporate bond rating change rating agencies apparently respond to changes in corporate financial and operating conditions several months after the information is impounded in bond and stock prices 1 however as a result of institutional differences between corporate and municipal bond markets it is possible that rating changes for municipal bonds do convey new information this note examines the information content of municipal bond rating changes by evaluating municipal bond price adjustments during the period surrounding a rating change the joint hypothesis tested is that municipal bond rating changes convey information to investors which is relevant for assessing equilibrium values of the securities and that the municipal bond market is efficient so that valuation changes occur simultaneously with rating changes the following section examines the institutional setting of the municipal bond market in order to specify why information content of bond rating changes might be anticipated remaining sections of the paper describe sample selection derivation of test data findings and discussion

factors affecting the carbon allowance market in the us the us carbon allowance market has different characteristic and price determination process from the eu ets market since emitting installations voluntarily participate in emission trading scheme this paper examines factors affecting the us carbon allowance market an autoregressive distributed lag model is used to examine the short and long run relationships between the us carbon allowance market and its determinant factors in the long run the price of coal is a main factor in the determination of carbon allowance trading in the short run on the other hand the changes in crude oil and natural gas prices as well as coal price have significant effects on carbon allowance market

efficiency of the turkish stock exchange with respect to monetary variables a cointegration analysis in this study we test the semistrong form of the efficient market hypothesis in turkey by using the recently developed techniques in time series econometrics namely unit roots and cointegration the long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect conclusions are made as to the efficiency of the turkish stock exchange and its possible implications for investors to our knowledge this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics

the inflation hedging properties of turkish reits this study empirically tests the inflation hedging abilities of turkish reits in comparison to the indices of common stocks listed on the istanbul stock exchange ise over the period december 1999 to december 2004 two main factors motivate this study first compared to their counterparts in developed capital markets turkish reits have some important tax incentives as well as flexibility in managing their portfolios second the turkish economy provides a rare and good opportunity to test the hedging behaviour of real estate stocks in periods of both high and moderate inflation rates the empirical results show that turkish reits in general provide a better hedge against both actual and expected inflation than do the ise common stock indices dividing the entire sample period into the high and moderate inflation sub periods we find that the hedging ability of reits is better under high inflation than under moderate inflation

the dynamic linkage effect between energy and emissions allowances price for regional emissions trading scheme pilots in china abstract china s emissions trading scheme cets pilots are emerging and fragmented markets these emissions allowances markets may exhibit a different fundamental price process from the european union s eu and the united states us emissions trading scheme ets the dynamic linkage effects between energy and emissions allowances prices are investigated for regional ets pilots in china using cointegration techniques the empirical results confirm that in the long run coal oil and natural gas prices are the main determinant factors of regional emissions allowances prices except for the second phase beijing ets pilots however their long run cointegration relationships in the beijing and shanghai pilots are not exactly in line with the guangdong and hubei pilots in the short run the changes in oil and natural gas prices in the second phase beijing ets pilot the natural gas prices in the shanghai ets pilot and the coal prices in the hubei ets pilot are found to have significant effects on regional emissions allowances prices in china finally regional energy pricing inefficiency regional emissions trading market overreaction and their inefficient fundaments may provide major obstacles in reducing the effectiveness of the fossil energy price pass through to emissions allowances prices in regional ets pilots

shifts from maize to sorghum production nutrition effects in four mexican communities abstract this paper examines how commercialization of agriculture especially the production of sorghum as a cash crop has affected household economic strategies and child nutritional status in four agrarian reform communities in mexico growing sorghum as a cash crop over maize as a semi subsistence crop has not placed the families of these small farmers in nutritional jeopardy nor has it provided them with a significantly better situation access to basic productive resources especially good quality land wage labour opportunities ecological conditions and agrarian and agricultural policy are more important than crop choice in determining the welfare of rural populations

bilateral exchange rates and risk premia abstract the paper develops a theoretical model of the risk premium in a bilateral exchange rate representative agents in both countries are assumed to hold open positions in foreign exchange together with risky assets denominated in their own currencies also past surpluses in the current account of the balance of payments lead to net foreign asset positions which may partially be covered in the forward markets our two period mean variance model for optimizing investors is combined with standard assumption about the behavior of real exchange rates to give a reduced form equation for the discrepancies between spot rates and lagged forward rates the model is tested for the dollar dm dollar sterling and dollar yen exchange rates using monthly data for the period 1976 86 the null hypothesis of no risk premium is rejected for each of the currencies reported

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

carbon dioxide emission drivers for a typical metropolis using input output structural decomposition analysis as the capital of china beijing is regarded as a major metropolis in the world study of the variation in temporal co2 emissions generated by the driving forces in beijing can provide guidance for policy decisions on co2 emissions mitigation in global metropolises based on input output structural decomposition analysis io sda we analysed the driving forces for the increment in co2 emissions in beijing from both production and final demand perspectives during 1997 2010 according to our results the co2 emission growth in beijing is driven mainly by production structure change and population growth partly offset by co2 emission intensity reduction as well as the decline in per capita final demand volume during the study period final demand structure change has a limited effect on the change in the co2 emissions in beijing from the final demand perspective urban trades urban residential consumption government consumption and fixed capital formation are mainly responsible for the booming emissions this study showed how the top down io sda methodology was implemented on a city scale policy implications from this study would be helpful for addressing co2 emissions mitigation in global capital cities and metropolises

asymmetric relationship between carbon emission trading market and stock market evidences from china abstract this paper has investigated the asymmetric relationship between carbon emission trading market and stock market in china by using the nonlinear auto regressive distributed lag nardl model based on our investigation on both of the overall and sector level of stock market we have obtained interesting and convincing empirical results that show there are significantly negative long run and short run asymmetric relationships between carbon emission trading market and overall stock market in china specifically we have noticed that while passing the effects from the former to the later the increasing of carbon emission trading price would make greater effects on the stock price than its decreasing also on the sector level carbon emission trading price is significantly related to some energy intense sectors and financial sector stock market furthermore we have surprisingly found out that there are no significant effects passing from stock index to carbon emission trading price in china neither on the overall level nor on the sector level of stock market

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

dynamic behavior of co2 spot prices co2 emission allowances are traded nowadays over the counter otc and on exchanges across the european union eu it thus becomes increasingly important for traders of these emission certificates to have a valid co2 spot price model to value potential derivatives in addition co2 emitting companies require an adequate co2 spot price model in order to better assess their production costs and support emissions related investment decisions however sufficient price history is still lacking for the european union emission trading scheme eu ets we therefore present a tractable stochastic equilibrium model reflecting stylized features of the eu ets and analyze the resulting co2 spot price dynamics our main findings are that co2 prices do not have to follow any seasonal patterns discounted prices should possess the martingale property and an adequate co2 price process should exhibit a time and price dependent volatility structure a brief empirical examination regarding market efficiency complements our analysis