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dc.contributor.authorLie, Sander
dc.contributor.authorHuse, Joachim Aalberg
dc.date.accessioned2020-11-11T13:30:02Z
dc.date.available2020-11-11T13:30:02Z
dc.date.issued2020
dc.identifier.urihttps://hdl.handle.net/11250/2687436
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2020en_US
dc.description.abstractThe purpose of this study is to shed light on the pricing mechanisms within the EU Emissions Trading System and evaluate the link between the prices of emission allowances and the prices of fundamental drivers of greenhouse gas emission. Through the use of an extensive model framework, we prove that there exists a long-run relationship between the spot and futures prices of emission allowances and make relatively accurate predictions of future spot prices based on historical price information. This implies that futures prices work as a signi cant information vehicle and that the system exhibits the appropriate risk mitigation characteristics for hedging greenhouse gas emission. Moreover, we identify links between prices of emission allowances and prices of coal, Brent oil and the DAX. Impulse response functions indicate that the system reacts to shocks in these variables but that the shocks are neutralized relatively fast. Overall, we nd evidence of a system exhibiting the characteristics of a mature nancial marketen_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinansen_US
dc.subjectfinanceen_US
dc.titlePricing of carbon emission allowances An assessment of the pricing relationships and the adequacy of EU ETS as a climate policy toolen_US
dc.typeMaster thesisen_US


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