First evidence of asymmetric cost pass-through of Eu emissions allowances : examining wholesale electricity prices in Germany
Name
2007-010.pdf
Size
177.59 KB
Format
Adobe PDF
Checksum (MD5)
44697e9f640558a77f4da5a3bd4d4e09
Author(s)
Zachmann, Georg
Hirschhausen, Christian von
Date Issued
2007
Publisher
MIT Center for Energy and Environmental Policy Research
Series/Report no.
MIT-CEEPR (Series) ; 07-010WP.
Abstract
This paper applies the literature on asymmetric price transmission to the emerging commodity market for EU emissions allowances (EUA). We utilize an error correction model and an autoregressive distributed lag model to measure the relationship between CO2 price changes and the development of wholesale electricity prices. Using data from the German market for electricity and EUAs, we find that the rising prices of EUAs have a stronger impact on wholesale electricity prices than falling prices -- the first empirical evidence of asymmetric cost pass-through for these new allowances.
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