Energy prices and CO2 emission allowance prices : a quantile regression approach

Detalhes bibliográficos
Autor(a) principal: Hammoudeh, Shawkat
Data de Publicação: 2014
Outros Autores: Nguyen, Duc Khuong, Sousa, Ricardo M.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/28103
Resumo: We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electricity prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices.
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spelling Energy prices and CO2 emission allowance prices : a quantile regression approachCO2 allowance priceEnergy pricesQuantile regressionQ47We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electricity prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices.COMPETE, QREN, FEDER, Fundação para a Ciência e a Tecnologia (FCT)Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoHammoudeh, ShawkatNguyen, Duc KhuongSousa, Ricardo M.20142014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/28103enghttp://www.nipe.eeg.uminho.pt/Uploads/NIPE_WP_06_2014.pdfinfo: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:RCAAP2023-07-21T12:21:33Zoai:repositorium.sdum.uminho.pt:1822/28103Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:14:49.397916Repositório 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 Energy prices and CO2 emission allowance prices : a quantile regression approach
title Energy prices and CO2 emission allowance prices : a quantile regression approach
spellingShingle Energy prices and CO2 emission allowance prices : a quantile regression approach
Hammoudeh, Shawkat
CO2 allowance price
Energy prices
Quantile regression
Q47
title_short Energy prices and CO2 emission allowance prices : a quantile regression approach
title_full Energy prices and CO2 emission allowance prices : a quantile regression approach
title_fullStr Energy prices and CO2 emission allowance prices : a quantile regression approach
title_full_unstemmed Energy prices and CO2 emission allowance prices : a quantile regression approach
title_sort Energy prices and CO2 emission allowance prices : a quantile regression approach
author Hammoudeh, Shawkat
author_facet Hammoudeh, Shawkat
Nguyen, Duc Khuong
Sousa, Ricardo M.
author_role author
author2 Nguyen, Duc Khuong
Sousa, Ricardo M.
author2_role author
author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Hammoudeh, Shawkat
Nguyen, Duc Khuong
Sousa, Ricardo M.
dc.subject.por.fl_str_mv CO2 allowance price
Energy prices
Quantile regression
Q47
topic CO2 allowance price
Energy prices
Quantile regression
Q47
description We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electricity prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices.
publishDate 2014
dc.date.none.fl_str_mv 2014
2014-01-01T00:00:00Z
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/1822/28103
url http://hdl.handle.net/1822/28103
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv http://www.nipe.eeg.uminho.pt/Uploads/NIPE_WP_06_2014.pdf
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 Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
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
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