排污权价格结构性断裂

2017 14th International Conference on the European Energy Market (EEM) Pub Date : 2017-06-16 DOI:10.2139/ssrn.2987732

Péter Molnár, Sven Thies

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引用次数: 1

摘要

本文研究了欧盟排放权交易体系Π阶段和第三阶段价格过程中的结构性断裂，时间跨度为2008年至2016年。在第二阶段和第三阶段之间确实存在结构性中断。然而，在每一个阶段中都有几个制度。我们发现高波动率制度通常是负平均收益制度，而低波动率制度通常表现为零或正平均收益。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Structural breaks in emission allowance prices

We study structural breaks in the emission allowance price process of the European Union Trading System during Phase Π and Phase III, covering years from 2008 to 2016. There is indeed a structural break between the Phase II and Phase III. However, there are several regimes within each of these phases. We find that the high-volatility regimes are usually the regimes with negative average returns, whereas low-volatility regimes usually exhibit zero or positive average returns.

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2017 14th International Conference on the European Energy Market (EEM)

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