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  • Dynamic Hedge Ratio Estimations in the European Union emissions Offset Credit Market

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    86501_1.pdf (580.9Kb)
    Author(s)
    Fan, John Hua
    Akimov, Alexandr
    Roca, Eduardo
    Griffith University Author(s)
    Fan, John H.
    Akimov, Alexandr
    Year published
    2013
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    Abstract
    Following the introduction of the European Union Emissions Trading Scheme in 2005, the size of the carbon market has been growing at a tremendous rate. To meet the emissions reduction targets, the regulated parties can choose to participate in the allowance-based market by purchasing the spot allowances. Commencing in 2008, the regulated parties are also allowed to purchase the offset credits to meet their allowance limit. Given the risky nature of the offset credits, this paper evaluates the hedging performance of dynamic hedge ratios for the carbon offset credit (certified emissions reduction) market in the EU-ETS. To the ...
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    Following the introduction of the European Union Emissions Trading Scheme in 2005, the size of the carbon market has been growing at a tremendous rate. To meet the emissions reduction targets, the regulated parties can choose to participate in the allowance-based market by purchasing the spot allowances. Commencing in 2008, the regulated parties are also allowed to purchase the offset credits to meet their allowance limit. Given the risky nature of the offset credits, this paper evaluates the hedging performance of dynamic hedge ratios for the carbon offset credit (certified emissions reduction) market in the EU-ETS. To the best of our knowledge, this paper is the first attempt to evaluate the hedging performance of dynamic and constant hedge ratios in the carbon offset credit market. Based on the variance reduction and utility improvement measurements, the findings generally support the use of static hedge ratios over the more sophisticated, dynamic hedge ratios.
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    Journal Title
    Journal of Cleaner Production
    Volume
    42
    DOI
    https://doi.org/10.1016/j.jclepro.2012.10.028
    Copyright Statement
    © 2013 Elsevier. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Environmental engineering
    Manufacturing engineering
    Finance
    Built environment and design
    Engineering
    Publication URI
    http://hdl.handle.net/10072/52681
    Collection
    • Journal articles

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