Carbon price volatility: Evidence from EU ETS

CASISD OpenIR > 中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)

	Carbon price volatility: Evidence from EU ETS
	Feng, ZH; Zou, LL; Wei, YM
发表期刊	APPLIED ENERGY
关键词	Carbon Price Carbon Market Eu Ets Nonlinear Dynamics Feedback Mechanism Heterogeneous Environment
摘要	This paper examines carbon price volatility using data from the European Union Emission Trading Scheme from a nonlinear dynamics point of view. First, we use a random walk model, including serial correlation and variance ratio tests, to determine whether carbon price history information is fully reflected in current carbon price. The empirical research results show that carbon price is not a random walk: the price history information is not fully reflected in current carbon price. Second, use R/S, modified R/S and ARFIMA to analyse the memory of carbon price history. For the period April 2005-December 2008, the modified Hurst index of the carbon price is 0.4859 and the d value of ARFIMA is -0.1191, indicating short-term memory of the carbon price. Third, we use chaos theory to analyse the influence of the carbon market internal mechanism on carbon price, i.e., the market's positive and negative feedback mechanism and the heterogeneous environment. Chaos theory proves that the correlation dimension of carbon price increases. The maximal Lyapunov exponent is positive and large. There is no obvious complex endogenous phenomenon of nonlinear dynamics the carbon price fluctuation. The carbon market is mildly chaotic, showing both market and fractal market characteristics. Price fluctuation is not only influenced by the internal market mechanism, but is also impacted by the heterogeneous environment. Finally, we provide suggestions for regulation and development of carbon market. (C) 2010 Published by Elsevier Ltd.
	2011
卷号	88 期号:3 页码:9,590-598
ISSN	0306-2619
学科领域	Chemical ; Energy & Fuels ; Engineering
收录类别	SCI
语种	英语
WOS记录号	WOS:000285217400004
引用统计	被引频次：92[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/4309
专题	中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)
推荐引用方式 GB/T 7714	Feng, ZH,Zou, LL,Wei, YM. Carbon price volatility: Evidence from EU ETS[J]. APPLIED ENERGY,2011,88(3):9,590-598.
APA	Feng, ZH,Zou, LL,&Wei, YM.(2011).Carbon price volatility: Evidence from EU ETS.APPLIED ENERGY,88(3),9,590-598.
MLA	Feng, ZH,et al."Carbon price volatility: Evidence from EU ETS".APPLIED ENERGY 88.3(2011):9,590-598.

条目包含的文件
文件名称/大小	文献类型	版本类型	开放类型	使用许可
Carbon price volatil（1403KB）			开放获取	--	浏览