Market Spillovers in the EU Emissions Trading System and Energy markets: A Connectedness Approach

Fonacier, Rex Tim Matthew A.; Nordbotten, Sander Østby
Master thesis
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URI
https://hdl.handle.net/11250/3146838
Date
2024
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Abstract
We analyzed the information spillover between carbon allowances, industries within the

European Union Emissions Trading System, and global energy commodities from July 3,

2017, to February 1, 2024, using a generalized vector autoregression framework proposed by

Diebold and Yilmaz (2012, 2014). Our findings suggest that carbon prices were primarily

the recipients of shocks originating from other assets, with the Chemical index being the

main driver in both the returns and volatility spillovers. The COVID-19 pandemic and the

ongoing Russia-Ukraine war significantly influenced the interconnectedness of the assets in

this study.
 
 
 
Publisher
University of Agder