By Yulia Veld-Merkoulova, Svetlana Viteva
Maximizing reader insights into the methodologies and state-of-the-art learn in regards to the monetary points of carbon markets, this booklet analyzes the commercial and fiscal results of carbon buying and selling and laws at the inventory industry costs of person businesses in addition to the joint results of laws and of the costs of oil and gasoline at the costs and volatility of the traded carbon securities.
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Additional info for Carbon Finance: How Carbon and Stock Markets are affected by Energy Prices and Emissions Regulations
In addition to our concerns about introducing such correlated variables in the analysis, we question the relevance of these variables as EUA price determinants altogether. For instance, a switch between energy generation sources may occur even though carbon price may be below its “switch” level, if energy demand is so high that both coal- and gas-ﬁred units need to be running to meet the demand (Delarue and D’haelseleer 2007). A problem with the use of spreads as carbon price drivers is that due to their different efﬁciencies, power plants will switch from coal- to gas-ﬁred units at different EUA prices.
Use of implied volatility in our tests is supported by results of Viteva, Veld-Merkoulova and Campbell (2014) that implied volatility of carbon options has high information content. Implied volatility is derived from options with the nearest December expiration. Only options with at least 10 days left until maturity on the event day are considered (Donders and Vorst 1996). In addition, all options in which no trading takes place during the entire 10-day period around a given announcement are discarded from the sample.
First, there can be no same-day announcements which belong to different categories. For example, on 15 December 2006 the Netherlands notiﬁed the EC of additional information to their already submitted Phase II NAP while Italy submitted its plan for the ﬁrst time. Because the impact of each announcement cannot be measured accurately, December 15 is not considered as an event day. The second criterion which we impose aims to improve the robustness of the event study results. Events which have other announcements on the previous or following day are removed in order to minimize confounding influences.