Carbon content of electricity futures in phase II of the EU ETS
Fell,H. Hintermann,B. Vollebergh,Herman
Fell,H.
Hintermann,B.
Vollebergh,Herman
Abstract
We estimate the relationship between electricity, fuel and carbon prices in Germany, France, the Netherlands, the Nord Pool market and Spain, using one-year futures for base and peak load prices for the years 2008-2011, corresponding to physical settlement during the second market phase of the EU ETS. We employ a series of estimation methods that allow for an increasing interaction between electricity and input prices on the one hand, and between electricity markets on the other. The results vary by country due to different generation portfolios. Overall, we find that (a) carbon costs are passed through fully in most countries; (b) under some model specifications, cost pass-through is higher during peak load than during base load for France, Germany and the Netherlands; and (c) the results are sensitive to the degree of cross-commodity and cross-market interaction allowed.
Description
Date
2015
Journal Title
Journal ISSN
Volume Title
Publisher
Research Projects
Organizational Units
Journal Issue
Keywords
cost pass-through, electricty markets, EU ETS, conintegration, carbon content, renewables, GARCH, Q42 - Alternative Energy Sources, Q41 - Demand and Supply ; Prices, Q54 - Climate ; Natural Disasters and Their Management ; Global Warming, C51 - Model Construction and Estimation, SDG 13 - Climate Action
Citation
Fell, H, Hintermann, B & Vollebergh, H 2015, 'Carbon content of electricity futures in phase II of the EU ETS', The Energy Journal, vol. 36, no. 4, 2644. https://doi.org/10.5547/01956574.36.4.hfel
License
info:eu-repo/semantics/closedAccess