Switch the Regime of Cap-and-Trade : An Econometric Approach to the Prices of CO2 Emission Allowances

Ing. Shadie Broumandi

Diplomová práce

Abstract:

The European Union is running the largest mulch-country, mulch-sector greenhouse gas emission trading scheme world-wide. We analyze the shortterm spot price behavior of carbon dioxide (CO2) emission allowances under EU-ETS trading scheme. We aim to provide the appropriate methodology to get insights into the emission market price scenarios. As volatility is one of the main risk factors in such a market, we will investigate the performances by Markov regime switching model to see whether the volatility changes from one regime to another or not. Moreover we will investigating the application of GARCH, EGARCH and GJR-GARCH models in order to observe breaks and volatility clustering in the spot market prices. Most available empirical research uses data from phase I. In this paper, we apply such methods for the Phase I (2005-2007) and Phase II (2008-2012) to capture a wider picture of the cap and trade scheme for CO2 emission allowances as a base analysis for the upcoming phases.

Keywords

CO2 Emission Allowance, Spot Price Dynamics, Volatility, CO2 Emission Trading, Markov Switching Model, GARCH Models.

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 19. 5. 2014

Obhajoba závěrečné práce

• Obhajoba proběhla 2. 2. 2015
• Vedoucí: Ing. Daniel Němec, Ph.D.
• Oponent: Oleg Deev

Masarykova univerzita

Ekonomicko-správní fakulta

Magisterský studijní program / obor:
Hospodářská politika a správa / Finanční podnikání (angl.)