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A high-frequency analysis of the ec’s decision on second national allocation plans (2009).
| Content Provider | CiteSeerX |
|---|---|
| Author | Rotfuß, Waldemar Conrad, Christian Rittler, Daniel |
| Abstract | This paper deals with the empirical examination of price formation in the European Union Emissions Trading Scheme (EU ETS). We propose a model of expectation-formation, where agents anticipate the European Commission’s decision on second National Allocation Plans. Based on high-frequency data on European Union Allowance (EUA) prices, we show that the model is able to capture the EUA price reactions immediately after the publication of the EC’s decision on second NAPs. In particular, unexpected allocation leads to pronounced price reactions with appropriate signs. Moreover, we find evidence that the adjustment of EUA prices to new information might be prone to lags. |
| File Format | |
| Publisher Date | 2009-01-01 |
| Access Restriction | Open |
| Subject Keyword | Ec Decision Second National Allocation High-frequency Analysis Appropriate Sign Second National Allocation Plan European Union Emission Trading Scheme European Commission Empirical Examination Second Nap High-frequency Data Eua Price Eu Ets European Union Allowance Price Reaction Eua Price Reaction Unexpected Allocation New Information Price Formation |
| Content Type | Text |
| Resource Type | Article |
