Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | |
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. |
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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 |
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1799131338190618624 |