Dynamic Effects in International Carbon Emission Markets: Evidence from ECX CER
It firstly analyzes effects of price shocks in ECX CER spot market and futures markets applying VAR model and Impulse Response Analysis. The results are found that price shocks of CER spot price with Cholesky one standard deviation innovations to itself and futures prices of Dec09 CER, Dec10 CER, Dec11 CER and Dec12 CER show high positive effects while price shocks of CER futures prices to themselves and CER spot price exhibit low positive effects, even negative effects. Besides, it respectively fits characteristics of returns series in CER futures markets and spot market using t-GARCH model, Gaussian-GARCH model, t-GJR model and Gaussian-GJR model. It displays that t-GARCH (1, 1) model is the optimal model to fit the returns series. Meanwhile, we suggest the use of Markov regime-switching model for ECX CER stochastic modeling, indicating that both CER spot market and futures markets exhibit high stochastic behavior in the returns.
CER VAR impulse response analysis GARCH
Hengyu Wu Genhua Hu Siyi Qin Jixian Liu
School of Economics,Guangdong University of Business Studies,Guangzhou, 510320, China School of Economics and Management, South China Normal University, Guangzhou, 510631, China
国际会议
武汉
英文
425-429
2011-10-17（万方平台首次上网日期，不代表论文的发表时间）