6533b824fe1ef96bd1281940

RESEARCH PRODUCT

Pricing intraday dynamics across EUAS and CERS markets

Vicente MedinaÁNgel PardoRoberto Pascual

subject

Certified Emission ReductionIntraday analysisEuropean Union AllowanceCointegration tests

description

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.

yearjournalcountryeditionlanguage
2011-07-01
https://hdl.handle.net/10400.21/1425