Download This PaperInformation Linkages between Emission Allowance and Energy Markets
38 Pages Posted: 1 Aug 2012 Last revised: 25 Mar 2014
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
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