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The Price and Volatility Dynamics in the Swedish-Norwegian Renewable Electricity Certificate MarketA Study of Spillover Effects and Regulatory changes
Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Nationalekonomi.
Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Nationalekonomi.
2016 (engelsk)Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
Abstract [en]

The market for renewable electricity certificates (REC) is the primary support system for renewable energy in Sweden and Norway. Regulatory uncertainty and equity markets have previously been proven to impact the volatility of the REC spot contract. As policy makers, renewable electricity investors and other stakeholders aim for profitability and efficient regulation, additional insights of the dynamics in the  REC market is needed. This study examines regulatory uncertainty on both REC spot  contract and forward contracts by estimating breakpoints on GARCH variance using the  Bai-Perron (1998) procedure. Spillover  effects from Brent Crude Oil, OSEBX and OMXS30 to the REC contracts are estimated using the Cross-Correlation Function. Significant break points linked to regulatory  events in the market are found in all of the  REC contracts. The REC spot contract is  found to be independent of Brent Crude Oil but affected by the OSEBX and OMXS30. Significant spillovers from Brent Crude Oil and equity markets are found in all of the forward contracts.

sted, utgiver, år, opplag, sider
2016. , s. 68
Emneord [en]
Renewable Electricity Certificates, REC, GARCH, CCF, Spillover Effects, Structural Breaks, Equity Markets, Brent Crude Oil
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-129847ISRN: LIU-IEI-FIL-A--16/02308--SEOAI: oai:DiVA.org:liu-129847DiVA, id: diva2:944541
Fag / kurs
Master Thesis in Business and Economics Programme (Economics)
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Examiner
Tilgjengelig fra: 2016-06-29 Laget: 2016-06-29 Sist oppdatert: 2016-06-29bibliografisk kontrollert

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