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Carbon content of electricity futures in Phase II of the EU ETS
JournalArticle (Originalarbeit in einer wissenschaftlichen Zeitschrift)
ID 2736421
Author(s) Fell, Harrison; Hintermann, Beat; Vollebergh, Herman
Author(s) at UniBasel Hintermann, Beat
Year 2015
Title Carbon content of electricity futures in Phase II of the EU ETS
Journal The energy journal
Volume 36
Number 4
Pages / Article-Number 61-83
Keywords Cost pass-through, electricity markets, emissions trading, EU ETS, cointegration, ARCH
Abstract We estimate the relationship between electricity, fuel and carbon prices in Germany, France, the Netherlands, the Nord Pool market and Spain, using one-year futures for base and peakload prices for the years 2009--2012, corresponding to physical settlement during the second market phase of the EU ETS. We employ a series of estimation methods that allow for an increasing interaction between electricity and input prices on the one hand, and between electricity markets on the other. The results vary by country due to different generation portfolios. Overall, we find that (a) carbon costs are passed through fully in most countries; (b) under some model specifications, cost pass-through is higher during peakload than during baseload for France, Germany and the Netherlands; and (c) the results are sensitive to the degree of cross-commodity and cross-market interaction allowed.
Publisher International Association for Energy Economics
ISSN/ISBN 1944-9089
Full Text on edoc Restricted
Digital Object Identifier DOI 10.5547/01956574.36.4.hfel
ISI-Number WOS:000362151900004
Document type (ISI) Article

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