0000000000139644
AUTHOR
Vicente Medina
Intraday Price Dynamics between EUAs and CERs in the European Carbon Futures Market
We provide the first intraday analysis on the contribution to price discovery of two emissions carbon credits: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We find that EUAs lead price discovery but CERs play a growing role and, therefore, should not be ignored.
The timeline of trading frictions in the European carbon market
We evaluate the quality of prices of EU-ETS, the most active European derivative market for greenhouse gas emissions allowances (EUAs). So far, this market has had two phases, a trial phase (from 2005 to 2007) and a commitment phase (from 2008 to 2012). The true value of a trial-phase EUA at the beginning of 2008 was inevitably zero because it could not be used in the commitment phase to cover emission targets. However, continued rumors of over-allocation of EUAs led to an early collapse of the market by May 2007. We study whether this market breakdown and the subsequent outbreak of the international financial crisis had a persistent effect on the quality of the commitment phase. We provide…
Pricing intraday dynamics across EUAS and CERS markets
The relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both in the short-run and in the long-run, with the EUA's market being the leader.
RNA2-encoded VP37 protein of Broad bean wilt virus 1 is a determinant of pathogenicity, host susceptibility, and a suppressor of post-transcriptional gene silencing
Abstract Broad bean wilt virus 1 (BBWV‐1, genus Fabavirus, family Secoviridae) is a bipartite, single‐stranded positive‐sense RNA virus infecting many horticultural and ornamental crops worldwide. RNA1 encodes proteins involved in viral replication whereas RNA2 encodes two coat proteins (the large and small coat proteins) and two putative movement proteins (MPs) of different sizes with overlapping C‐terminal regions. In this work, we determined the role played by the small putative BBWV‐1 MP (VP37) on virus pathogenicity, host specificity, and suppression of post‐transcriptional gene silencing (PTGS). We engineered a BBWV‐1 35S‐driven full‐length cDNA infectious clone corresponding to BBWV‐…
Modeling the Probability of Informed Trading in the European Carbon Market
We provide evidence of informed trading in the European carbon market. We adapt Easley et al.’s (1996) PIN methodology to the particularities of this market by isolating the trading activity on the two carbon offsets: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We find that the PIN regularly increases before the publication of the yearly verified-emission reports. CERs exhibit lower average PIN than EUAs. While the PIN of CERs has increased over time, together with its share in total trading activity, EUAs’ PIN has remained pretty stable. Our findings suggest that CERs must not be avoided in any decision or analysis made by researchers, regulators or traders i…
Is the EUA a new asset class?
The listing of a new asset requires knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, the authors study the stylised facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in both commodity futures and financial assets. However, properties such as negative asymmetry, positive correlation with stocks indexes and higher volatility levels during the trading session, typical of financial assets, and the existence of inflation hedge and positive …
Rolling Over EUAs and CERs
Whatever derivative contract has a finite life limited by their maturity. The construction of long series, however, is of interest for academic, hedging and investments purposes. In this study, we analyze the relevance of the choice of the rollover date on European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts. We have used five different methodologies to construct long series and the results show that, regardless of the criterion applied, there are not significant differences between the resultant return distribution series. Therefore, the least complex method, which is to roll on the last trading day, can be used in order to reach the same conclusions.…