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Energy prices and CO2 emission allowance prices: a quantile regression approach

Hammoudeh, Shawkat, Nguyen, Duc Khuong and Sousa, Ricardo J. (2014) Energy prices and CO2 emission allowance prices: a quantile regression approach. Energy Policy, 70. pp. 201-206. ISSN 0301-4215

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Identification Number: 10.1016/j.enpol.2014.03.026

Abstract

We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electricity prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices.

Item Type: Article
Official URL: http://www.journals.elsevier.com/energy-policy
Additional Information: © 2014 Elsevier Ltd.
Divisions: Economics
Subjects: G Geography. Anthropology. Recreation > GE Environmental Sciences
H Social Sciences > HC Economic History and Conditions
Sets: Departments > Economics
Date Deposited: 14 Apr 2014 11:56
Last Modified: 20 Mar 2019 02:24
URI: http://eprints.lse.ac.uk/id/eprint/56514

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