Time variation in European carbon pass-through rates in electricity futures prices

Huisman, Ronald; Kilic, Mehtap

doi:10.1016/j.enpol.2015.07.005

Cited by 18 publications

(3 citation statements)

References 15 publications

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“…The main finding was that for every tonne of CO 2, the annual average electricity price rise by 0,74 EUR/MWh. Huisman and Kilic (2015) found support for the time-varying of passthrough rate by applying a Kalman Filter approach. The study focused on future prices in UK and Germany.…”

Section: An Overview Of the Literaturementioning

confidence: 86%

Relation of CO2 emission allowance prices and electricity prices in Poland in 2013-2020

Bielecki¹

2023

EiS

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This paper investigates the relation between the prices of CO2 emission allowances in the EU ETS (Emission Trading System), and wholesale prices of electricity in Poland. Linear regression models were used to assess carbon price pass-through rate to wholesale electricity prices during the entire III phase of ETS (2013-20). It has been found out that the entire cost of CO2 emission allowances was included in wholesale electricity price. As expected, the peak transmission parameter is higher than the off-peak one. Nevertheless the difference is small, and statistically insignificant, hence the model does not allow for any far-reaching conclusions in this regard. Results show, that electricity producers were able to pass the entire emission related costs to the customers, which might rise a question whether EU ETS is an effective tool to give sufficient incentives to decarbonise electricity production.

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Section: An Overview Of the Literaturementioning

confidence: 86%

Relation of CO2 emission allowance prices and electricity prices in Poland in 2013-2020

Bielecki¹

2023

EiS

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“…Researchers are examining the relationship between electricity and carbon prices (Freitas and da Silva 2015; Hammoudeh et al 2014b;Koop and Tole 2013). For example, Huisman and Kiliç (2015) and Castagneto-Gissey (2014) examined the carbon price passthrough rates in the power industry. Boersen and Scholtens (2014) studied the power markets of the UK, Spain, France, Northern Europe, and Germany and discovered a positive correlation between carbon markets and electricity prices.…”

Section: Literature Reviewmentioning

confidence: 99%

On the inner dynamics between Fossil fuels and the carbon market: a combination of seasonal-trend decomposition and multifractal cross-correlation analysis

Aslam

Ali

Amjad

et al. 2022

Environ Sci Pollut Res

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This study examines the inner dynamics of multifractality between the carbon market (EU ETS) and four major fossil fuel energy markets: Brent Crude Oil (BRN), Richards Bay Coal (RBC), UK Natural Gas (NGH2), and FTSE350 electricity index (FTSE350) from January 04, 2016, to March 04, 2022. First, we decompose the daily price changes by applying seasonal and trend decomposition using loess (STL). Then, we examine the inner dynamics of multifractality and cross-correlation by employing multifractal detrended fluctuation analysis (MFDFA) and multifractal detrended cross-correlation analysis (MFDCCA) using the remaining components of the return series. Our findings reveal that all series and the cross-correlations of carbon and fossil fuels markets have multifractal characteristics. We find crude oil to be the most efficient market (lowest multifractal), while coal is the least efficient (highest multifractal). Only coal shows persistent, whereas the other markets exhibit antipersistent behavior. Interestingly, the coal and EU ETS pair demonstrates a higher degree of multifractal patterns. In contrast, the pair of natural gas and EU ETS exhibits the lowest multifractal characteristics among the energy markets. Only the crude oil market shows persistent cross-correlations in the multifractality. These findings have important academic and managerial implications for investors and policymakers.

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“…Kallabis et al (2015) analyze the Germany market using a parsimonious fundamental model and point out that the CO2 emission price has a strong impact on the futures market. By examining the futures prices of U.K and Germany, Huisman and Kiliç (2015) find that electricity prices should include market price of emission as it is a cost factor for power plants. Besides, they also point out that the emission price passed through to electricity price is time-varying.…”

Section: Pricing Mechanism Ii: Opportunity Cost Pricing (Ocp)mentioning

confidence: 99%

Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China

Zhang¹,

Farnoosh²

2019

Energy Policy

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Time variation in European carbon pass-through rates in electricity futures prices

Cited by 18 publications

References 15 publications

Relation of CO2 emission allowance prices and electricity prices in Poland in 2013-2020

Relation of CO2 emission allowance prices and electricity prices in Poland in 2013-2020

On the inner dynamics between Fossil fuels and the carbon market: a combination of seasonal-trend decomposition and multifractal cross-correlation analysis

Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China

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