Descripción del proyecto DEENESFRITPL Los efectos de los mercados bursátil y energético en el mercado del carbono El régimen de comercio de derechos de emisión de la Unión Europea (RCD UE), el primer sistema internacional de comercio de emisiones del mundo, constituye una parte esencial del objetivo de la UE para combatir el cambio climático. Los mercados bursátil y energético determinan los precios del futuro mercado del carbono. Las crisis afectan a los precios de los derechos de emisión de la UE: créditos climáticos o créditos de carbono utilizados en el RCD UE. En el proyecto ECS, que cuenta con el apoyo de las Acciones Marie Skłodowska-Curie, se estudiarán las relaciones de causa y efecto, los efectos secundarios de los precios y las dependencias entre los mercados bursátil, energético y del carbono de 2005 a 2021. Se determinará si existen correlaciones o efectos indirectos de volatilidad entre estos mercados y se mostrará qué efecto tienen los mercados bursátil y energético sobre el mercado del carbono. Mostrar el objetivo del proyecto Ocultar el objetivo del proyecto Objetivo The EU is now on course to accomplish its 2020 climate and energy targets, and has finalized the regulatory framework required to attain its 2030 and 2050 emissions reduction goals. The EU Emission Trading System (ETS) was established in 2005 with the objective of limiting global warming and maintaining a balance between economic development and environmental protection. Financial and energy markets are the main driving forces of the prices of the carbon future market. It's also conceivable that shocks to driving forces have an impact on EUA pricing. As far now, price formation in the ETS, the consequences of structural changes on market linkages, and co-movement between the markets across different trading phases of EU ETS remain widely unexplored. Hence, the goal of this study is to explore the dynamic causal relationship, price spillovers, and dependencies among carbon-energy-stock markets during 2005-2021. To achieve this objective, it is essential to investigate the stationarity and structural breaks of variables by ADF, PP, KPSS, and ZA tests. To design a network causal relationship, directed acyclic graphs (DAG) as an alternative data-based approach will be used to modeling and analyzing contemporaneous causality patterns. Then, a Time-Varying Parameter VAR model (TVP-VAR) will be applied to discuss the volatility spillover effects. For multi-dimensional analysis, Vine Copulas, including R-Vine, C-Vine, and D-Vine models will be applied. The EUA daily future price from, stock market indices (DAX, FTSE100, CAC40, FTSE MIB, IBEX35, Euro stoxx50, respectively), and energy prices for Brent oil and gas will be utilized for a sample period (2005-2021). Novel outcomes from the study could be explored for three phases of the EU ETS. The study determines whether there are any relationships or volatility spillover effects among the markets. Dependency analysis will quantify the correlations and reveal the impact of energy and financial markets on the carbon market. Ámbito científico natural sciencescomputer and information sciencesdata sciencesocial scienceseconomics and businessengineering and technologyenvironmental engineering Palabras clave Natural Resources and Environmental Economics Econometrics Financial Markets Statistical Methods Macroeconomics Asset Prices and International Finance Programa(s) HORIZON.1.2 - Marie Skłodowska-Curie Actions (MSCA) Main Programme Tema(s) HORIZON-MSCA-2021-PF-01-01 - MSCA Postdoctoral Fellowships 2021 Convocatoria de propuestas HORIZON-MSCA-2021-PF-01 Consulte otros proyectos de esta convocatoria Régimen de financiación HORIZON-TMA-MSCA-PF-EF - HORIZON TMA MSCA Postdoctoral Fellowships - European Fellowships Coordinador FONDAZIONE ENI ENRICO MATTEI Aportación neta de la UEn € 172 750,08 Dirección CORSO MAGENTA 63 COMPLESSO IMMOBILIARE LE STELLINE 20123 Milano Italia Ver en el mapa Región Nord-Ovest Lombardia Milano Tipo de actividad Research Organisations Enlaces Contactar con la organización Opens in new window Sitio web Opens in new window Participación en los programas de I+D de la UE Opens in new window Red de colaboración de HORIZON Opens in new window Coste total Sin datos
