Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.22/3480
Título: Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis
Autor: Freitas, Carlos J. Pereira
Silva, Patrícia Pereira da
Palavras-chave: European Union Emission Trading Scheme
EU ETS
Iberian electricity market
Cointegration
Vector error correction model
VECM
European climate policy
Kyoto Protocol
Carbon cost pass–through
Data: 2013
Editora: Inderscience Publishers
Relatório da Série N.º: International Journal of Public Policy; Vol. 9, Issues 1-2
Resumo: This paper addresses the impact of the CO2 opportunity cost on the wholesale electricity price in the context of the Iberian electricity market (MIBEL), namely on the Portuguese system, for the period corresponding to the Phase II of the European Union Emission Trading Scheme (EU ETS). In the econometric analysis a vector error correction model (VECM) is specified to estimate both long–run equilibrium relations and short–run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The model is estimated using daily spot market prices and the four commodities prices are jointly modelled as endogenous variables. Moreover, a set of exogenous variables is incorporated in order to account for the electricity demand conditions (temperature) and the electricity generation mix (quantity of electricity traded according the technology used). The outcomes for the Portuguese electricity system suggest that the dynamic pass–through of carbon prices into electricity prices is strongly significant and a long–run elasticity was estimated (equilibrium relation) that is aligned with studies that have been conducted for other markets.
Peer review: yes
URI: http://hdl.handle.net/10400.22/3480
ISSN: 1740-0600
1740-0619
Versão do Editor: http://inderscience.metapress.com/content/m6163r036228l685/
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