IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v56y2020i8p1691-1714.html
   My bibliography  Save this article

Price Break Points and Impact Process Evaluation in the EU ETS

Author

Listed:
  • Junjun Jia
  • Huaqing Wu
  • Xiaoxuan Zhu
  • Jingwei Li
  • Ying Fan

Abstract

The paper identifies break points in the European Union Emissions Trading Scheme (EU ETS) from 2005 to 2018 using multiple structural change model, and illustrates the impact process of these break points on expected carbon returns and volatility using bilaterally modified dummies. Our results show five break points: April 27 and November 10, 2006, in phase I; November 17, 2008, November 3, 2014, and October 4, 2016, in phases II and III. On average, the two break points in phase I have a negative impact on carbon expected returns while the three break points in phases II and III have a positive impact. Only the break point on April 27, 2006, significantly increases the volatility of carbon prices. Our results affirm the effectiveness of successive short-, medium-, and long-term policy adjustments that aim to change the prolonged downturn in carbon price.

Suggested Citation

  • Junjun Jia & Huaqing Wu & Xiaoxuan Zhu & Jingwei Li & Ying Fan, 2020. "Price Break Points and Impact Process Evaluation in the EU ETS," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(8), pages 1691-1714, June.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:8:p:1691-1714
    DOI: 10.1080/1540496X.2019.1694888
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2019.1694888
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2019.1694888?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhao, Lili & Wen, Fenghua, 2022. "Risk-return relationship and structural breaks: Evidence from China carbon market," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 481-492.
    2. Liudmila Reshetnikova & Natalia Boldyreva & Anton Devyatkov & Zhanna Pisarenko & Danila Ovechkin, 2023. "Carbon Pricing in Current Global Institutional Changes," Sustainability, MDPI, vol. 15(4), pages 1-19, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:56:y:2020:i:8:p:1691-1714. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.