Dynamic steam of European carbon, energy and steel markets cointegration

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86097454" target="_blank" >RIV/61989100:27510/16:86097454 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Dynamic steam of European carbon, energy and steel markets cointegration
Original language description
Two aims are set for this paper. The first is to estimate a long-run equilibrium (cointegrating process) of the carbon, energy and steel prices on the European markets and the second one is to investigate the role of steel exchange prices in these markets in the light of changes in the structure of supply and demand. The analysis is based on spot carbon prices (on EU ETS and over-the-counter), energy prices of crude oil and natural gas and steel billet prices. We use the daily data from the period between February 2, 2013 and December 28, 2015 (i.e. 710 observations). The empirical evidence confirms the hypothesis that the five variables form one long-run equilibrium (cointegrating) relationship where the steel prices play the crucial role. Meanwhile, in the short-run effects on prices of crude oil and carbon allowances have been identified.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Quantitative Methods in Economics : Multiple Criteria Decision Making XVIII : proceedings of the international scientific conference : 25th May-27th May 2016, Vrátna, Slovakia
ISBN
978-80-972328-0-1
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
139-145
Publisher name
Letra Interactive
Place of publication
Bratislava
Event location
Vrátna
Event date
May 25, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000394099300022

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