All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

Julien Chevallier
''Wavelet packet transforms analysis applied to carbon prices''
( 2011, Vol. 31 No.2 )
This paper deals with carbon price variations using a multi time scale decomposition based on the theory of wavelets. Our approach is based on wavelet packet transforms. This original approach enables us to identify that the periods which contribute the most to EUA spot, EUA futures, and CER futures price variations are February-April 2008, October-November 2008, and the recent 2009-2011 business cycle which correspond to major institutional uncertainties and changes in macroeconomic fundamentals. This wavelet decomposition therefore provides additional evidence on the drivers of carbon prices being institutional events and economic activity.
Keywords: Carbon Price, EUA, CER, Wavelet
JEL: C1 - Econometric and Statistical Methods: General
Q4 - Energy: General
Manuscript Received : Apr 29 2011 Manuscript Accepted : Jun 14 2011

  This abstract has been downloaded 1872 times                The Full PDF of this paper has been downloaded 153558 times