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Information Assimilation in the EU Emissions Trading Scheme: A Microstructure Study

Miss Jiayuan Chen, Michael Smurfit School of University College Dublin The European Union’s Emissions Trading Scheme (ETS) is the key policy instrument of the European Commission’s Climate Change Program aimed at reducing carbon emissions to eight percent below 1990 levels by 2012. The key asset traded under the scheme is the European Union Allowance (EUA). This article examines the extent of information assimilation in the futures market of the European Union’s ETS. Using ultra high frequency data, we examine intraday futures market behaviour around major scheduled macroeconomic and emissions information announcements during Phase 2 of the European Union’s ETS, 2008-12. We examine December expiration contracts in 2008, 2009, 2010 and in 2011. Our study of intra-day behaviour of the European Union’s ETS futures market relates to price volatility and spreads as well as trading volume and order imbalances. In particular, we address questions such as [1] does contemporaneous order imbalance impact market returns in the anticipated direction – do excess buy (sell) orders drive up (down) prices?; [2] do order imbalance and returns respond to announcements in a way that Read more…

Categories: Academic Papers, Energy and environment, Energy economics

Tags: Carbon trading, conference 2012, derivatives, ETS, European Energy in a Challenging World, market efficiency, market microstructure

Information-Assimilation-in-the-EU-Emissions-Trading-Scheme-A-Microstructure-study.pdf 2.07 MBCHEN-Information-ssimilation-in-the-EU-Emissions-Trading-Scheme.pdf 435.9 KB

20th
Sep
2012

Addressing leakage in the EU ETS: Results from the CASE II model

Dr Stéphanie Monjon, CIRED The European Union Emission Trading System covers CO2 emissions from electricity generation and heavy industry. Industry representative criticise it on the ground that it would create a competitive disadvantage for European manufacturers and increase emissions abroad, which is called carbon leakage. Several options have been proposed to tackle carbon leakage. To assess these proposals, we build a partial equilibrium model focusing on the main sectors affected by the EU ETS: cement, aluminium, steel and electricity. We analyse eight policy scenarios with various provisions aimed at tackling leakage, and compare them to a scenario with full auctioning of allowances and no anti-leakage provision. We conclude that the most efficient way to tackle leakage is auctioning with border adjustment, which even induces a negative leakage (a spillover). Another relatively efficient policy is to combine auctioning in the electricity sector and free allocation of allowances proportional to current production in the exposed industry, especially if free allowances are given both for direct emissions and for indirect emissions, i.e. emissions generated by the electricity consumed.

Categories: Academic Papers, Energy and environment, Energy policy

Tags: Climate change conference 2010, Competitiveness, Emissions trading, Energy in a Low carbon economy Europe, ETS, Leakage, |Industry

Addressing leakage in the EU ETS - Paper.pdf 423.92 KBAddressing leakage in the EU ETS - Presentation.pdf 398.48 KB

22nd
Sep
2010

Energy in a low carbon economy: new roles for governments and markets

David Newbery, EPEG Cambridge EU climate policy comprises of the Emissions Trading Scheme (ETS) to price CO2, the 20-20-20 Directive to create a demand pull for renewables and the EU SET-Plan to double R&D spending. However there are failures with some aspects of these policies, such as the ETS CO2 price being volatile and too low and the Renewables Directive undermining the ETS as it can reduce the price of EUAs and prejudice other forms of low carbon generation (nuclear). UK energy policy seeks to ensure a secure, affordable and efficient, low carbon energy system and is based in part around the policy lead from the EU. However, the UK also needs to consider how policy can support the transition to low carbon and the wider goals for the energy system. This requires the development of certainty to ensure that timely investment comes forward, including: a need for quick clarity on energy policy; the reduction of unnecessary risk; the replacement of ROCs with tendered FiTs; underpinning and guaranteeing the carbon price; and reform of the market and transmission access.

Categories: Conference Presentations, Electricity and nuclear, Energy and environment, Energy policy

Tags: Carbon, Climate change, CO2 emissions, conference 2010, David Newbery, Electricity Transmission, Emissions, Emissions trading, Energy in a Low carbon economy, Energy pricing, ETS, FiTs, Renewables, ROC, UK

Energy in a low carbon economy - Presentation.pdf 366.01 KB

22nd
Sep
2010

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Downloads / ETS

You must be logged in to view recent content.

You must be logged in to view recent content.

Information Assimilation in the EU Emissions Trading Scheme: A Microstructure Study

Addressing leakage in the EU ETS: Results from the CASE II model

Energy in a low carbon economy: new roles for governments and markets

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