Econometric Analysis of Carbon Markets The European Union Emissions
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, techniqu
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Julien Chevallier
Econometric Analysis of Carbon Markets The European Union Emissions Trading Scheme and the Clean Development Mechanism
Dr. Julien Chevallier CGEMP/LEDa Department of Economics University Paris Dauphine Place du Marechal de Lattre de Tassigny 75016 Paris France [email protected]
ISBN 978-94-007-2411-2 e-ISBN 978-94-007-2412-9 DOI 10.1007/978-94-007-2412-9 Springer Dordrecht Heidelberg London New York Library of Congress Control Number: 2011938668 © Springer Science+Business Media B.V. 2012 No part of this work may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, microfilming, recording or otherwise, without written permission from the Publisher, with the exception of any material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Cover design: VTeX UAB, Lithuania Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To my family.
Preface
The idea of writing this book naturally came after a discussion with my editor, whom I warmly thank for making this project possible. This book should be extremely useful for researchers and working professionals (trading managers, energy and commodity traders, quantitative analysts, consultants, utilities) in the fields of econometrics and carbon finance. We define carbon markets as the environmental markets created to regulate the emissions of greenhouse gases (including CO2 ), such as the European Union Emissions Trading Scheme (EU ETS) and the Kyoto Protocol (more precisely the Clean Development Mechanism, CDM). This book is intended for readers with a basic understanding of time series econometrics (such as the linear regression model, vector autoregression, and cointegration). Useful textbooks to refresh concepts on this matter are Gujarati (Basic Econometrics, McGraw-Hill) and Hamilton (Time Series Analysis, Princeton University Press). It can be used for teaching econometrics applied to carbon markets at undergraduate or postgraduate levels (M.Sc., MBA), and as a reference for professionals. The content of this book has been presented during lectures on the econometrics of energy markets and on commodity finance at the University Paris Dauphine. It draws on feedback and practical exercises developed with former M.Sc. Students, to whom this book is likewise dedicated. Through the analysis of the EU ETS and the CDM, the book shows how to use a variety of econometric techniques to analyze an evolving and expanding carbon market sphere worldwide. The book offers a mix of knowledge on emissions trading with practical applications to carbon markets. It covers the stylized facts on carbon markets from an economics perspective, as well as key aspects on pricing strategies, risk and portfolio management. On the one hand, it contains useful information on how to interpret the historical development of the carbon price (until the present tim
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