Market Spillovers in the EU Emissions Trading System and Energy markets: A Connectedness Approach
Master thesis
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https://hdl.handle.net/11250/3146838Utgivelsesdato
2024Metadata
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Sammendrag
We analyzed the information spillover between carbon allowances, industries within theEuropean Union Emissions Trading System, and global energy commodities from July 3,2017, to February 1, 2024, using a generalized vector autoregression framework proposed byDiebold and Yilmaz (2012, 2014). Our findings suggest that carbon prices were primarilythe recipients of shocks originating from other assets, with the Chemical index being themain driver in both the returns and volatility spillovers. The COVID-19 pandemic and theongoing Russia-Ukraine war significantly influenced the interconnectedness of the assets inthis study.