Factores determinantes del precio de los derechos de emisión europeosevidencia para las fases II y III

Resumen

In this paper, we analyse the evolution of the price of EU emission allowances for Phase II and Phase III of the European Emission Trading System (EU ETS). The main drivers considered come from the demand side (fuel prices, economic situation and weather variations) and the supply side (announcements regarding the organisation of the EU ETS). Using Garch modelling to account for the volatility dynamics of the EUA returns, our main results show, that there is a relationship between fuel prices and stock index values and the EUA price during the period considered, and that this relationship changes over time becoming stronger in particular during years 2016-17. Furthermore, institutional news about regulatory reforms also influences carbon price formation. These results have political implications for improving the functioning of the market and helping to design new markets in other areas, such as China.