Modeling persistence of carbon emission allowance prices

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• 作者：Luis A. Gil-Alana^a ; Rangan Gupta^b ; Fernando Perez de Gracia^a ; ^{fgracia@unav.es" class="auth_mail" title="E-mail the corresponding author}
• 关键词：CO2 emission allowance prices ; Fractional integration ; Nonstationarity
• 刊名：Renewable and Sustainable Energy Reviews
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：55
• 期：Complete
• 页码：221-226
• 全文大小：381 K

文摘

This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the data, with both of these aspects potentially affecting the degree of persistence. Our results indicate that, while there is no evidence of non-linearity, when allowing for structural breaks, persistence of shocks to the carbon emission allowance is markedly reduced, with the same being transitory in nature for recent sub-samples.