Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M. - Institut de Préparation à l'Administration et à la … - 2014
the vector error-correction Models (VECM). The data are monthly for the prices of oil, coal, natural gas, electricity and … CO2 prices; (ii) an unexpected increase in the natural gas prices raises the price of CO2 emissions; (iii) a positive … effect is particularly strong in the case of the natural gas price shocks. Additionally, we estimate that it takes between 7 …