SEMINAR MILJØØKONOMENE SKAL PÅ I DAG

SEMINAR ØKONOMI OG FINANS

Velkommen til åpent seminar onsdag 20. mars med Marc Gronwald: The Relationship between the Carbon Market and Financial Markets – a Frequency Domain Analysis

Marc Gronwald er ansatt ved Ifo-instituttet ved Universitetet i Munchen. Han jobber med klima, miljø og naturressurser, og vil besøke faggruppen i industriell økonomi, 19-24 mars.

Seminaret finner sted på Universitetet i Stavanger Ellen & Axel Lunds hus H-125 kl 11:30-12:30. Enkel servering.

Her er sammendrag:

The urgent problem of climate change heads the political agenda now already for a number of years. The economic idea of internalizing external effects is of particular importance in this context. The preferred policy instrument to achieve this is establishing emission trading schemes. According to conventional wisdom, this approach is the cost-efficient way to reduce greenhouse gas emissions. The European Emission Trading Scheme (EU-ETS) is currently by far the largest existing trading scheme; certificates used in this scheme are called European Union Allowances (EUA). In addition to this multi-national trading scheme, e.g. Australia decided to start a national trading scheme. Moreover, different regional systems in the US are also currently established. It should be noted that the idea of emission trading schemes is based on economic reasoning and implies establishing entirely new markets. In that sense, this market is "artificial". This, naturally, involves various regulatory decisions, ranging from allowance allocation to banking and borrowing between different compliance periods, as in the EU-ETS.

As establishing emission trading schemes is the preferred policy instrument to tackle the problem of climate change, it is of particular importance to have a sufficient understanding of the determinants as well as the behaviour of the prices observed in this market. With the end of the first trading period of the European Emission Trading Scheme (EU-ETS), empirically analysing emission allowance prices receives growing attention in the literature. A number of recent papers investigate the relationship between European carbon prices on the one hand and commodity prices as well as financial market variables on the other. A key result that emerged from this research effort is that the relationship between these markets was stronger during the period of the financial crisis [Gronwald et al., 2011]. Other studies which focus on the relationship between carbon markets and other markets are the so-called "rockets and feathers" literature [Lo Prete and Norman, 2012] as well as those that study macroeconomic risk factors [Chevallier, 2009] and the fundamental value of carbon prices [Hintermann, 2009].

As establishing emission trading schemes is the preferred policy instrument to tackle the problem of climate change, it is of particular importance to have a sufficient understanding of the determinants as well as the behaviour of the prices observed in this market. With the end of the first trading period of the European Emission Trading Scheme (EU-ETS), empirically analysing emission allowance prices receives growing attention in the literature. A number of recent papers investigate the relationship between European carbon prices on the one hand and commodity prices as well as financial market variables on the other. A key result that emerged from this research effort is that the relationship between these markets was stronger during the period of the financial crisis [Gronwald et al., 2011]. Other studies which focus on the relationship between carbon markets and other markets are the so-called "rockets and feathers" literature [Lo Prete and Norman, 2012] as well as those that study macroeconomic risk factors [Chevallier, 2009] and the fundamental value of carbon prices [Hintermann, 2009].