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Article: An empirical study on the interaction between EUA futures, coal, natural gas and electricity

TitleAn empirical study on the interaction between EUA futures, coal, natural gas and electricity
Authors
Lu, WYin, H
KeywordsEua
Futures Market
Impulse Response
Price Shock
Vecm
Issue Date2012
PublisherInderscience Publishers. The Journal's web site is located at http://www.inderscience.com/ijge
Citation
International Journal Of Green Economics, 2012, v. 6 n. 1, p. 1-16 How to Cite?
DOI: http://dx.doi.org/10.1504/IJGE.2012.048422
AbstractThis paper uses a Vector Error Correction Model (VECM), a method to estimate the adjustment speed of variables toward their long-run relationship in the short run, to investigate the dynamic relationship between the prices of EUA, coal, natural gas and electricity futures. It finds that there is a long-run equilibrium relationship between them. Short-run relationships between them are also revealed by impulse response analysis. The price of electricity futures has a positive short-run response to EUA futures price shocks. It also has a positive short-run response to the price of fossil fuel futures. Price shocks in EUA futures have a significant impact on fossil fuel prices, but fossil fuel prices have a small impact on EUA futures. The effect of price shocks in EUA and coal futures on the price of peak load electricity futures is smaller than that of the price of base load electricity futures. Copyright © 2012 Inderscience Enterprises Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/168666
ISSN
1744-9928
2020 SCImago Journal Rankings: 0.220
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLu, Wen_US
dc.contributor.authorYin, Hen_US
dc.date.accessioned2012-10-08T03:24:09Z-
dc.date.available2012-10-08T03:24:09Z-
dc.date.issued2012en_US
dc.identifier.citationInternational Journal Of Green Economics, 2012, v. 6 n. 1, p. 1-16en_US
dc.identifier.issn1744-9928en_US
dc.identifier.urihttp://hdl.handle.net/10722/168666-
dc.description.abstractThis paper uses a Vector Error Correction Model (VECM), a method to estimate the adjustment speed of variables toward their long-run relationship in the short run, to investigate the dynamic relationship between the prices of EUA, coal, natural gas and electricity futures. It finds that there is a long-run equilibrium relationship between them. Short-run relationships between them are also revealed by impulse response analysis. The price of electricity futures has a positive short-run response to EUA futures price shocks. It also has a positive short-run response to the price of fossil fuel futures. Price shocks in EUA futures have a significant impact on fossil fuel prices, but fossil fuel prices have a small impact on EUA futures. The effect of price shocks in EUA and coal futures on the price of peak load electricity futures is smaller than that of the price of base load electricity futures. Copyright © 2012 Inderscience Enterprises Ltd.en_US
dc.languageengen_US
dc.publisherInderscience Publishers. The Journal's web site is located at http://www.inderscience.com/ijgeen_US
dc.relation.ispartofInternational Journal of Green Economicsen_US
dc.subjectEuaen_US
dc.subjectFutures Marketen_US
dc.subjectImpulse Responseen_US
dc.subjectPrice Shocken_US
dc.subjectVecmen_US
dc.titleAn empirical study on the interaction between EUA futures, coal, natural gas and electricityen_US
dc.typeArticleen_US
dc.identifier.emailLu, W:luwei@hku.hken_US
dc.identifier.authorityLu, W=rp00754en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1504/IJGE.2012.048422en_US
dc.identifier.scopuseid_2-s2.0-84864705307en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84864705307&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume6en_US
dc.identifier.issue1en_US
dc.identifier.spage1en_US
dc.identifier.epage16en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridLu, W=27868087600en_US
dc.identifier.scopusauthoridYin, H=55329952900en_US
dc.identifier.issnl1744-9928-

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