Resumen

MENDEZ SAYAGO, JHON ALEXANDER  y  PERUGACHE RODRIGUEZ, CAROL ANDREA. Causality and sensitivity of prices of European Union allowances and emission reduction certificates of clean development mechanisms in the European market for allowance transactions. estud.gerenc. [online]. 2012, vol.28, n.124, pp.141-167. ISSN 0123-5923.

This article examines the price relationships between European Union Allowances (EUAs), valid under the EU Emissions Trading Scheme (EU ETS), and Certified Emissions Reductions (CERs) generated through the Clean Development Mechanism (CDM) under the Kyoto Protocol. Given the price differences between EUAs and CERs, financial and industrial operators could profit from arbitrage strategies by buying CERs and selling EUAs or vice versa. A statistical analysis of the carbon credit market through a VAR model revealed the impact of shocks on the carbon market on the prices of EUAs and CERs.

Palabras clave : Carbon market; carbon credits; VAR model.

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