Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis

Detalhes bibliográficos
Autor(a) principal: Freitas, Carlos J. Pereira
Data de Publicação: 2013
Outros Autores: Silva, Patrícia Pereira da
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.22/3480
Resumo: This paper addresses the impact of the CO2 opportunity cost on the wholesale electricity price in the context of the Iberian electricity market (MIBEL), namely on the Portuguese system, for the period corresponding to the Phase II of the European Union Emission Trading Scheme (EU ETS). In the econometric analysis a vector error correction model (VECM) is specified to estimate both long–run equilibrium relations and short–run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The model is estimated using daily spot market prices and the four commodities prices are jointly modelled as endogenous variables. Moreover, a set of exogenous variables is incorporated in order to account for the electricity demand conditions (temperature) and the electricity generation mix (quantity of electricity traded according the technology used). The outcomes for the Portuguese electricity system suggest that the dynamic pass–through of carbon prices into electricity prices is strongly significant and a long–run elasticity was estimated (equilibrium relation) that is aligned with studies that have been conducted for other markets.
id RCAP_35f1e9969b501dc3ac929e8159ac88e1
oai_identifier_str oai:recipp.ipp.pt:10400.22/3480
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysisEuropean Union Emission Trading SchemeEU ETSIberian electricity marketCointegrationVector error correction modelVECMEuropean climate policyKyoto ProtocolCarbon cost pass–throughThis paper addresses the impact of the CO2 opportunity cost on the wholesale electricity price in the context of the Iberian electricity market (MIBEL), namely on the Portuguese system, for the period corresponding to the Phase II of the European Union Emission Trading Scheme (EU ETS). In the econometric analysis a vector error correction model (VECM) is specified to estimate both long–run equilibrium relations and short–run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The model is estimated using daily spot market prices and the four commodities prices are jointly modelled as endogenous variables. Moreover, a set of exogenous variables is incorporated in order to account for the electricity demand conditions (temperature) and the electricity generation mix (quantity of electricity traded according the technology used). The outcomes for the Portuguese electricity system suggest that the dynamic pass–through of carbon prices into electricity prices is strongly significant and a long–run elasticity was estimated (equilibrium relation) that is aligned with studies that have been conducted for other markets.Inderscience PublishersRepositório Científico do Instituto Politécnico do PortoFreitas, Carlos J. PereiraSilva, Patrícia Pereira da2014-01-28T15:48:48Z20132013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/3480eng1740-060010.1504/IJPP.2013.053440info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-13T12:43:18Zoai:recipp.ipp.pt:10400.22/3480Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:24:28.123073Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
title Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
spellingShingle Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
Freitas, Carlos J. Pereira
European Union Emission Trading Scheme
EU ETS
Iberian electricity market
Cointegration
Vector error correction model
VECM
European climate policy
Kyoto Protocol
Carbon cost pass–through
title_short Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
title_full Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
title_fullStr Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
title_full_unstemmed Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
title_sort Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
author Freitas, Carlos J. Pereira
author_facet Freitas, Carlos J. Pereira
Silva, Patrícia Pereira da
author_role author
author2 Silva, Patrícia Pereira da
author2_role author
dc.contributor.none.fl_str_mv Repositório Científico do Instituto Politécnico do Porto
dc.contributor.author.fl_str_mv Freitas, Carlos J. Pereira
Silva, Patrícia Pereira da
dc.subject.por.fl_str_mv European Union Emission Trading Scheme
EU ETS
Iberian electricity market
Cointegration
Vector error correction model
VECM
European climate policy
Kyoto Protocol
Carbon cost pass–through
topic European Union Emission Trading Scheme
EU ETS
Iberian electricity market
Cointegration
Vector error correction model
VECM
European climate policy
Kyoto Protocol
Carbon cost pass–through
description This paper addresses the impact of the CO2 opportunity cost on the wholesale electricity price in the context of the Iberian electricity market (MIBEL), namely on the Portuguese system, for the period corresponding to the Phase II of the European Union Emission Trading Scheme (EU ETS). In the econometric analysis a vector error correction model (VECM) is specified to estimate both long–run equilibrium relations and short–run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The model is estimated using daily spot market prices and the four commodities prices are jointly modelled as endogenous variables. Moreover, a set of exogenous variables is incorporated in order to account for the electricity demand conditions (temperature) and the electricity generation mix (quantity of electricity traded according the technology used). The outcomes for the Portuguese electricity system suggest that the dynamic pass–through of carbon prices into electricity prices is strongly significant and a long–run elasticity was estimated (equilibrium relation) that is aligned with studies that have been conducted for other markets.
publishDate 2013
dc.date.none.fl_str_mv 2013
2013-01-01T00:00:00Z
2014-01-28T15:48:48Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.22/3480
url http://hdl.handle.net/10400.22/3480
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1740-0600
10.1504/IJPP.2013.053440
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Inderscience Publishers
publisher.none.fl_str_mv Inderscience Publishers
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131338190618624