Testing for Linear and Nonlinear Granger Causality between the Carbon Spot and Futures Prices

摘要：

The pricing of carbon allowance has gained wide attention from practitioners, economists and policy makers in recent years. Our paper constitutes the first exercise to employ nonlinear Granger causality test to examine the role of price discovery through the empirical relationship between EUA/CER spot price and futures price. We conduct our analysis in a comparative way by using both the Granger (1969)’s Granger causality test and the Hiemstra and Jones (1994)’s nonlinear Granger causality test. The results from linear Granger causality test show evidence of unidirectional causality from EUA spot price to the EUA futures price. In contrast, the results from nonlinear Granger causality test show significant bidirectional causality between futures price and spot price in both EUA and CER markets.

关键词： carbon price nonlinear causality spot and futures prices

作者: Ying Gao Bin Li Ziran Li

作者单位: Research Center on FictitiousEconomy & Data Science,Chinese Academy of Sciences,Beijing 100190, Chin School of Management,Graduate University ofChinese Academy ofSciences,Beijing 100190, China Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 439-443

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）