Information Linkages between Emission Allowance and Energy Markets

Schultz, Emma; Swieringa, John

doi:10.2139/ssrn.2121208

Information Linkages between Emission Allowance and Energy Markets

38 Pages Posted: 1 Aug 2012 Last revised: 25 Mar 2014

See all articles by Emma Schultz

John Swieringa

Australian National University (ANU)

There are 2 versions of this paper

Date Written: March 25, 2014

Abstract

We employ a rational expectations framework similar to Fleming, Kirby and Ostdiek (1998) to examine volatility and information linkages between the emission allowance and energy markets as well as the sources thereof. Estimating the model for bivariate pairings of securities suggests that market linkages arise from sensitivities to common information rather than from indirect spillovers, with emission allowances most strongly linked to the crude oil market.

Keywords: information linkages; volatility; emission allowance markets, energy markets

JEL Classification: G13, G14

Suggested Citation: Suggested Citation

Schultz, Emma and Swieringa, John, Information Linkages between Emission Allowance and Energy Markets (March 25, 2014). Available at SSRN: https://ssrn.com/abstract=2121208 or http://dx.doi.org/10.2139/ssrn.2121208