TITLE:
A Study on the Law of Cyclical Fluctuation of Carbon Price—Empirical Evidence from EU ETS
AUTHORS:
Xing Yang, Hanfeng Liao
KEYWORDS:
Price of Carbon Emission Rights, Cyclical Fluctuation, Maximum Entropy Spectrum, Wavelet Variance, Influencing Factors
JOURNAL NAME:
Low Carbon Economy,
Vol.9 No.4,
December
14,
2018
ABSTRACT: Based on the trading data of the Bluenext and the
European Climate Exchange (ECX), this paper analyzes the cyclic price
fluctuations of the EU carbon emission rights by means of the maximum entropy
spectrum and wavelet variance. The results
show that: 1) there are obvious cyclical price fluctuations in the EU carbon
trading market, with the longest cycle being 33 months and the shortest
5.7; 2) researches on the factors that affect
the cyclical price fluctuations of carbon emission rights manifest that power
prices (POWER) exert the
greatest implication on the prices of carbon emission rights, followed by coal
prices (COAL). For every 1% change in POWER, the price of carbon emission rights changes 10.95%
towards the same direction. For every 1%
change in COAL, the price of carbon emissions changes 9.28% towards the
opposite; 3) research based on variance decomposition demonstrates that
electricity prices contribute the most to the changes of the price of carbon
emissions, and the variance contribution rate is 13% at a lag cycle of 30 days.