Modeling persistence of carbon emission allowance prices

Gil-Alana, Luís A.; Gracia, Fernando Pérez de; Gupta, Rangan

doi:10.1016/j.rser.2015.10.056

Cited by 29 publications

(8 citation statements)

References 40 publications

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“…Complete details of these results are available upon request from the authors. However, some discussion of the relevant results can be found in Footnote 2. root tests have low power when a series is characterized by a fractional integration process (for a detailed discussion in this regard and more, see Gil-Alana et al, 2015).…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

“…Thus, a growing literature has examined the stationarity of CO 2 series using different time series techniques, different sample of countries and time periods. For example, Heil and Selden (1999) Although the inclusion of structural breaks in the univariate analysis of CO 2 series is common in the literature, only a few papers include non-linear deterministic trends when calculating the fractional integration order of the series (Gil-Alana et al, 2015). These authors analyze the issue of persistence in carbon emission allowance spot prices using daily data for the period 2007-2014 accounting for structural breaks and nonlinearities in the data.…”

Section: Literature Reviewmentioning

confidence: 99%

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Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries

Gil-Alana

Cuñado

Gupta

2016

Environ Resource Econ

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This study examines the time series behaviour of CO 2 emissions within a long memory approach with non-linear trends and structural breaks using long span of data for the BRICS and the G7 countries. The main results show significant differences both in the degree of integration and non-linearities among the analyzed countries. Thus, the CO 2 emissions series display, in most of the cases, orders of integration equal to or higher than 1, implying permanent effects of shocks in CO 2 emissions. The only exceptions are Germany, the US and the UK, where shocks will have transitory effects. With respect to the non-linearities, more evidence of non-linear behaviour is obtained in the G7 countries, especially in the cases of the US, the UK, Germany and France. Partial evidence is also found in Canada and India. The significantly different results obtained for emerging and developed economies have important policy implications.

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Section: Data and Empirical Resultsmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries

Gil-Alana

Cuñado

Gupta

2016

Environ Resource Econ

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“…Long memory is a feature of time series that are characterised by a high degree of dependence between observations which are far apart in time. It has been found to be displayed by many time series in different fields such as climatology (Gil-Alana 2005, 2008Vyushin and Kushner 2009;Franzke 2012;Ludescher et al 2016;Bunde 2017;Yuan et al 2019;Bruneau et al 2020), environmental sciences (Barros et al 2016;Gil-Alana et al 2016;Tiwari et al 2016;Solarin 2018, Gil-Alana andTrani 2019;Xayasouk et al 2020) and economics and finance (Gil-Alana and Moreno 2012;Abritti et al 2017;Kalemkerian and Sosa 2020;Murialdo et al 2020;Qiu et al 2020).…”

Section: Methodsmentioning

confidence: 99%

Particulate matter 10 (PM10): persistence and trends in eight European capitals

Caporale

Gil-Alana

Carmona-González

2021

Air Qual Atmos Health

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This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014–2020 by applying a fractional integration framework; this is more general than the standard approach based on the classical dichotomy between I(0) stationary and I(1) non-stationary series used in most other studies on air pollutants. All series are found to be characterised by long memory and fractional integration, with orders of integration in the range (0, 1), which implies that mean reversion occurs and shocks do not have permanent effects. Persistence is the highest in the case of Brussels, Amsterdam and London. The presence of negative trends in Brussels, Paris and Berlin indicates some degree of success in reducing pollution in these capitals.

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“…G7 countries and China are not only the biggest energy producers globally but also the largest CO 2 emission groups of countries among the world, and as pointed by Gil-Alana et al., 1 more than 60% of the total CO 2 emissions around the world come from these eight countries in 2014. The reduction of greenhouse gas emissions is a global imperative, making thus each country responsible in the fight of the global warming phenomenon.…”

Section: Introductionmentioning

confidence: 99%

CO₂ emissions converge in China and G7 countries? Further evidence from Fourier quantile unit root test

Chen

Inglesi‐Lotz

et al. 2019

Energy & Environment

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G7 countries and China are considered not only the biggest energy producers globally but also the largest CO2 emission groups of countries among the world. In this study, we apply the Fourier quantile unit root test to investigate whether CO2 emissions converge in China and G7 countries using per capita CO2 emissions data over 1950–2013. While traditional unit root test results indicate that per capita CO2 emissions do not converge among these G7 countries and China, empirical results from the Fourier quantile unit root test point out that the CO2 emissions did converge in Germany, Italy, and the United Kingdom. Although the results of this study do not find strong CO2 emission convergence in the other five countries (i.e., Canada, France, Japan, the United States, and China), the CO2 emissions did converge in certain quantiles for these five countries. Our empirical results have important policy implications for the governments of G7 countries and China to implement the effective energy policy to reduce the CO2 emissions.

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Modeling persistence of carbon emission allowance prices

Cited by 29 publications

References 40 publications

Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries

Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries

Particulate matter 10 (PM10): persistence and trends in eight European capitals

CO₂ emissions converge in China and G7 countries? Further evidence from Fourier quantile unit root test

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Modeling persistence of carbon emission allowance prices

Cited by 29 publications

References 40 publications

Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries

Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries

Particulate matter 10 (PM10): persistence and trends in eight European capitals

CO2 emissions converge in China and G7 countries? Further evidence from Fourier quantile unit root test

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Product

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CO₂ emissions converge in China and G7 countries? Further evidence from Fourier quantile unit root test