Title: How does carbon price change? Evidences from EU ETS

Authors: Zhen-Hua Feng; Chun-Feng Liu; Yi-Ming Wei

Addresses: School of Management, University of Science and Technology of China, Hefei 230026, China; Center for Energy and Environmental Policy Research, Beijing Institute of Technology, Beijing 100081, China. ' Center for Energy and Environmental Policy Research, Beijing Institute of Technology, Beijing 100081, China; School of Management and Economics, Beijing Institute of Technology, Beijing 100081, China. ' Center for Energy and Environmental Policy Research, Beijing Institute of Technology, Beijing 100081, China; School of Management and Economics, Beijing Institute of Technology, Beijing 100081, China

Abstract: By proposing the hypotheses for carbon price volatility, this paper uses variance ratio and Ensemble Empirical Mode Decomposition (EEMD) to analyse the carbon price. Results show that carbon market is temperature-sensitive, affected by seasonal changes, which presents a style of movement amplitude; carbon price is affected by the market mechanism at a high frequency, with the duration being less than 15 weeks and amplitudes less than 5 euros; heterogeneity environment has an impact on carbon price at a low frequency, the duration lasting more than 34 weeks or even more and amplitudes more than 10 euros or higher. Meanwhile, historical carbon price change shows the long-term trend declines gradually since 2005 from 18 to 16 euros per ton. The continuing declining trend agrees with special events by time. Our research explores the reasons of carbon price volatility and some recommendations are given trying to regulate carbon market.

Keywords: carbon price; EEMD; ensemble empirical mode decomposition; variance ratio; price volatility; temperature sensitivity; EU ETS; carbon trading; seasonal changes; carbon market; emissions trading; carbon emissions; CO2; carbon dioxide.

DOI: 10.1504/IJGEI.2011.045026

International Journal of Global Energy Issues, 2011 Vol.35 No.2/3/4, pp.132 - 144

Received: 08 May 2021
Accepted: 12 May 2021

Published online: 18 Jan 2012 *

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