Search results for " Impulse-Response"

Emission Trading in a High Dimensional Context: To What Extent Carbon Markets are Integrated with the Broader System?

2023

The following work will provide further insights into the influence of European Emission Allowance (EUA) prices on carbon dioxide trends and relevant variables of the economic-financial climate-environmental system considering a large set of time series. The methodological approach will employ Hierarchical Vector Autoregression by W. B. Nicholson et al. (2020) deal with a high-dimensional context. Results of the two specifications highlighted how CO2 appears to be more influenced by commodity prices, climate variables, along with past industrial performances. Furthermore, a shock of carbon prices could potentially exert significant turbulence on the carbon dioxide series, fading in intensit…