Production in Industry and Prices of Emission Allowances' predictability

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Production in Industry and Prices of Emission Allowances' predictability

Popis výsledku v původním jazyce

Emissions trading became the crucial institutional factor for industrial companies in the European Union trying to reduce the CO2 emissions released in accordance with the Kyoto protocol. The key factor of the European emissions trading system (EU ETS) is an emission price since the system was built as a cap-and-trade system. An ability to forecast or at least to understand the development of emission prices is an effort of both industrial companies and brokers. In this paper, we analyse the relationship between production in industry of the Czech Republic and prices of emission allowances. We assume that production in industry contain forward-looking information and increase in industrial activity (production) would imply increase in volatility of prices of emission allowances. For this purpose, we employ ordinary and asymmetric GARCH-X models, i.e. GARCH models with covariate as explanatory variable.

Název v anglickém jazyce

Production in Industry and Prices of Emission Allowances' predictability

Popis výsledku anglicky

Emissions trading became the crucial institutional factor for industrial companies in the European Union trying to reduce the CO2 emissions released in accordance with the Kyoto protocol. The key factor of the European emissions trading system (EU ETS) is an emission price since the system was built as a cap-and-trade system. An ability to forecast or at least to understand the development of emission prices is an effort of both industrial companies and brokers. In this paper, we analyse the relationship between production in industry of the Czech Republic and prices of emission allowances. We assume that production in industry contain forward-looking information and increase in industrial activity (production) would imply increase in volatility of prices of emission allowances. For this purpose, we employ ordinary and asymmetric GARCH-X models, i.e. GARCH models with covariate as explanatory variable.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Strategic Management and its Support by Information Systems 2015 : proceedings of the 11th international conference : May 21st-22nd, Uherské Hradiště, Czech Republic

ISBN

978-80-248-3741-3

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

288-295

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Uherské Hradiště

Datum konání akce

21. 5. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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