書誌事項
- タイトル別名
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- Effect of Oil Price on Emissions Trading Market: VAR Analysis
- 原油価格の変動による排出権価格への影響 : VARモデルによる分析
- ゲンユ カカク ノ ヘンドウ ニ ヨル ハイシュツケン カカク エ ノ エイキョウ : VAR モデル ニ ヨル ブンセキ
- ——VARモデルによる分析——
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In this study, we investigated the relationship of European Union carbon dioxide (CO2) allowances (EUAs) prices and oil prices by employing a VAR analysis, Granger causality test and impulse response function. If oil price continues increasing, companies will decrease dependency on fossil fuels because of an increase in energy costs. Therefore, the price of EUAs may be affected by variations in oil prices if the greenhouse gases discharged by the consumption of alternative energy are less than that of fossil fuels. There are no previous studies that investigated these relationships. In this study, we analyzed eight types of EUAs (EUA05 to EUA12) with a time series daily data set during 2005-2007 collected from a European Climate Exchange time series data set. Differentiations in these eight types were redemption period. We used the New York Mercantile Exchange light sweet crude price as an oil price.<br>From our examination, we found that only the EUA06 and EUA07 types of EUAs Granger-cause oil prices and vice versa and other six types of EUAs do not Granger-cause oil price. These results imply that the earlier redemption period types of EUAs are more sensitive to oil price. In employing the impulse response function, the results showed that a shock to oil price has a slightly positive effect on all types of EUAs for a very short period. On the other hand, we found that a shock to price of EUA has a slightly negative effect on oil price following a positive effect in only EUA06 and EUA07 types. Therefore, these results imply that fluctuations in EUAs prices and oil prices have little effect on each other.<br>Lastly, we did not consider the substitute energy prices in this study, so we plan to include the prices of coal and natural gas in future analyses.<br><br>JEL Classification: Q43
収録刊行物
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- 地域学研究
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地域学研究 42 (3), 593-606, 2012
日本地域学会
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詳細情報 詳細情報について
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- CRID
- 1390001204432881024
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- NII論文ID
- 130003366359
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- NII書誌ID
- AN00140630
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- ISSN
- 18806465
- 02876256
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- NDL書誌ID
- 024296349
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- 本文言語コード
- ja
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- データソース種別
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- 使用不可