Prices for carbon, electricity and fuels in the EU: A Cointegration approach
Project funded by own resources
Project title Prices for carbon, electricity and fuels in the EU: A Cointegration approach
Principal Investigator(s) Hintermann, Beat
Organisation / Research unit Departement Wirtschaftswissenschaften / Public Economics / Public Finance (Hintermann)
Project start 01.02.2010
Probable end 01.12.2014
Status Completed
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 peak load 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 similar during peak and during base load for France, Germany and the Netherlands; and (c) the results are sensitive to the degree of cross-commodity and cross-market interaction allowed. We further find that coal prices are negatively and gas prices are positively associated with allowance prices, although the latter effect is not statistically significant in all specifications.

Keywords EU ETS, emission trading, cost pass-through, electricity, cointegration, energy markets
Financed by University funds
Other funds

Published results ()

  ID Autor(en) Titel ISSN / ISBN Erschienen in Art der Publikation
2736421  Fell, Harrison; Hintermann, Beat; Vollebergh, Herman  Carbon content of electricity futures in Phase II of the EU ETS  1944-9089  The energy journal  Publication: JournalArticle (Originalarbeit in einer wissenschaftlichen Zeitschrift) 

Cooperations ()

  ID Kreditinhaber Kooperationspartner Institution Laufzeit - von Laufzeit - bis
978091  Hintermann, Beat  Fell, Harrison, Professor  Colorado School of Mines  01.02.2010  31.12.2013 
2310444  Hintermann, Beat  Vollebergh, Herman  Netherlands Environmental Assessment Agency  01.01.2010  01.12.2014 
   

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05/10/2022