{"title":"排污权价格结构性断裂","authors":"Péter Molnár, Sven Thies","doi":"10.2139/ssrn.2987732","DOIUrl":null,"url":null,"abstract":"We study structural breaks in the emission allowance price process of the European Union Trading System during Phase Π and Phase III, covering years from 2008 to 2016. There is indeed a structural break between the Phase II and Phase III. However, there are several regimes within each of these phases. We find that the high-volatility regimes are usually the regimes with negative average returns, whereas low-volatility regimes usually exhibit zero or positive average returns.","PeriodicalId":416082,"journal":{"name":"2017 14th International Conference on the European Energy Market (EEM)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Structural breaks in emission allowance prices\",\"authors\":\"Péter Molnár, Sven Thies\",\"doi\":\"10.2139/ssrn.2987732\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study structural breaks in the emission allowance price process of the European Union Trading System during Phase Π and Phase III, covering years from 2008 to 2016. There is indeed a structural break between the Phase II and Phase III. However, there are several regimes within each of these phases. We find that the high-volatility regimes are usually the regimes with negative average returns, whereas low-volatility regimes usually exhibit zero or positive average returns.\",\"PeriodicalId\":416082,\"journal\":{\"name\":\"2017 14th International Conference on the European Energy Market (EEM)\",\"volume\":\"19 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-06-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2017 14th International Conference on the European Energy Market (EEM)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2987732\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2017 14th International Conference on the European Energy Market (EEM)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2987732","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We study structural breaks in the emission allowance price process of the European Union Trading System during Phase Π and Phase III, covering years from 2008 to 2016. There is indeed a structural break between the Phase II and Phase III. However, there are several regimes within each of these phases. We find that the high-volatility regimes are usually the regimes with negative average returns, whereas low-volatility regimes usually exhibit zero or positive average returns.
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