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Ange Nsouadi and Virginie Terraza
''The multi-scale analysis of dynamic transmission volatility of carbon prices''
( 2024, Vol. 44 No.1 )
The implementation of the EU ETS in 2005 led to the establishment of a price that enables manufacturers to realize the impact of their activities on the environment clean. There are no items in this day, since the creation of the European carbon market, which has focused on the analysis of volatility transmission between different investment horizons. The purpose of this paper is to fill this gap in the literature. we analyze the volatility of the price of carbon quota (EUA), by studying linear and nonlinear causal relationships of wavelet components between the different volatilities that we captured at different time scales. we initially conducted the decomposition of the EUA price volatility at different time-frequency interval using a wavelet approach. Our study will be to examine whether the volatility is transmitted from the high-frequency structure of the carbon price in the low frequency. Our results show an intra-structural dependance in carbon price volatility. We detect instability in the volatility of carbon and observe the existence of a bidirectional relationship from high frequency traders to low frequency traders. Our study showed that high-frequency shocks yields carbon price can have a significant impact beyond their Fontiers and touch the low frequency structure associated with long-term traders
Keywords: Carbon market, EU ETS, Wavelet, time-scale, Granger Causality
JEL: Y1 - Special Issue in Honor of Michel Terraza
C5 - Econometric Modeling: General
Manuscript Received : Sep 28 2021 Manuscript Accepted : Mar 30 2024

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