Article (Scientific journals)
The multi-scale analysis of dynamic transmission volatility of carbon prices
Nsouadi, Ange; Terraza, Virginie
2022In Economics Bulletin
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Abstract :
[en] The implementation of the EU ETS in 2005 led to the establishment of a price that enables manufacturers to realize the impact of their activities on the environment clean. There are no items this day, since the creation of the European carbon market, which has focused on analyzing volatility transmission between different investment horizons. The purpose of this paper is to fill this gap in the literature. we analyze the volatility of the price of carbon quota (EUA), by studying linear and nonlinear causal relationships of wavelet components between the different volatilities we captured at different time scales. we initially decomposed the EUA price volatility at different time-frequency intervals using a wavelet approach. Our study will be to examine whether the volatility is transmitted from the high-frequency structure of the carbon price in the low frequency. Our results show an intra-structural dependence on carbon price volatility. We detect instability in the volatility of carbon and observe the existence of a bidirectional relationship from high-frequency traders to low-frequency traders. Our study showed that high-frequency shocks yield carbon price can have a significant impact beyond their Frontiers and touch the low-frequency structure associated with long-term traders Keywords: Carbon market, EU ETS, Wavelet, time-scale, Granger Causality.
Disciplines :
Quantitative methods in economics & management
Author, co-author :
Nsouadi, Ange
Terraza, Virginie ;  University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA)
External co-authors :
Language :
Title :
The multi-scale analysis of dynamic transmission volatility of carbon prices
Publication date :
December 2022
Journal title :
Economics Bulletin
Publisher :
Economics Bulletin, Nashville, United States - Tennessee
Peer reviewed :
Peer Reviewed verified by ORBi
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