Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M. - Institut de Préparation à l'Administration et à la … - 2014
This paper analyzes the short-term dynamics of the prices of CO2 emissions, using the vector autoregression (VAR) and … the vector error-correction Models (VECM). The data are monthly for the prices of oil, coal, natural gas, electricity and … carbon emission allowances. The results show that: (i) a positive shock to the crude oil prices has a negative effect on the …