Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period
We examine convenience yields and risk premiums in the EU-wide CO 2 emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts....
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Trück, Stefan [verfasserIn] |
|---|
| Format: |
Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2016 |
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| Rechteinformationen: |
Nutzungsrecht: © 2016 Wiley Periodicals, Inc. |
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| Schlagwörter: |
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| Übergeordnetes Werk: |
Enthalten in: The journal of futures markets - Hoboken, NJ : Wiley-Blackwell, 1981, 36(2016), 6, Seite 587-611 |
|---|---|
| Übergeordnetes Werk: |
volume:36 ; year:2016 ; number:6 ; pages:587-611 |
| Links: |
|---|
| DOI / URN: |
10.1002/fut.21780 |
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| 520 | |a We examine convenience yields and risk premiums in the EU-wide CO 2 emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts. We further examine the impact of interest rate levels in the Eurozone, the increasing level of surplus allowances and banking, as well as returns, variance, or skewness in the EU-ETS spot market. Our findings suggest that the drop in risk-free rates during and after the financial crisis has impacted on the deviation from the cost-of-carry relationship for emission allowances (EUA) futures contracts. Our results also illustrate a negative relationship between convenience yields and the increasing level of inventory during the first Kyoto commitment period, providing an explanation for the high negative convenience yields. Finally, we find that market participants are willing to pay an additional risk premium in the futures market for a hedge against increased volatility in EUA prices. Overall, our results contribute to the literature on the determinants and empirical properties of convenience yields and risk premiums for this relatively new class of assets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:587-611, 2016 | ||
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10.1002/fut.21780 doi PQ20160719 (DE-627)OLC1977858686 (DE-599)GBVOLC1977858686 (PRQ)g1150-d5bda2acaa7b6a287a5ee8c04abe06bc17e3e2bf3b8a90a16ec5161eef11928d3 (KEY)0104282320160000036000600587convenienceyieldsandriskpremiumsintheeuetsevidence DE-627 ger DE-627 rakwb eng 330 ZDB Trück, Stefan verfasserin aut Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier We examine convenience yields and risk premiums in the EU-wide CO 2 emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts. We further examine the impact of interest rate levels in the Eurozone, the increasing level of surplus allowances and banking, as well as returns, variance, or skewness in the EU-ETS spot market. Our findings suggest that the drop in risk-free rates during and after the financial crisis has impacted on the deviation from the cost-of-carry relationship for emission allowances (EUA) futures contracts. Our results also illustrate a negative relationship between convenience yields and the increasing level of inventory during the first Kyoto commitment period, providing an explanation for the high negative convenience yields. Finally, we find that market participants are willing to pay an additional risk premium in the futures market for a hedge against increased volatility in EUA prices. Overall, our results contribute to the literature on the determinants and empirical properties of convenience yields and risk premiums for this relatively new class of assets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:587-611, 2016 Nutzungsrecht: © 2016 Wiley Periodicals, Inc. Risk premiums Futures market Weron, Rafał oth Enthalten in The journal of futures markets Hoboken, NJ : Wiley-Blackwell, 1981 36(2016), 6, Seite 587-611 (DE-627)167040022 (DE-600)395139-X (DE-576)015509427 0270-7314 nnns volume:36 year:2016 number:6 pages:587-611 http://dx.doi.org/10.1002/fut.21780 Volltext http://onlinelibrary.wiley.com/doi/10.1002/fut.21780/abstract http://search.proquest.com/docview/1784373025 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_26 GBV_ILN_4012 GBV_ILN_4311 AR 36 2016 6 587-611 |
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Trück, Stefan |
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10.1002/fut.21780 |
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convenience yields and risk premiums in the eu‐ets—evidence from the kyoto commitment period |
| title_auth |
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period |
| abstract |
We examine convenience yields and risk premiums in the EU-wide CO 2 emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts. We further examine the impact of interest rate levels in the Eurozone, the increasing level of surplus allowances and banking, as well as returns, variance, or skewness in the EU-ETS spot market. Our findings suggest that the drop in risk-free rates during and after the financial crisis has impacted on the deviation from the cost-of-carry relationship for emission allowances (EUA) futures contracts. Our results also illustrate a negative relationship between convenience yields and the increasing level of inventory during the first Kyoto commitment period, providing an explanation for the high negative convenience yields. Finally, we find that market participants are willing to pay an additional risk premium in the futures market for a hedge against increased volatility in EUA prices. Overall, our results contribute to the literature on the determinants and empirical properties of convenience yields and risk premiums for this relatively new class of assets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:587-611, 2016 |
| abstractGer |
We examine convenience yields and risk premiums in the EU-wide CO 2 emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts. We further examine the impact of interest rate levels in the Eurozone, the increasing level of surplus allowances and banking, as well as returns, variance, or skewness in the EU-ETS spot market. Our findings suggest that the drop in risk-free rates during and after the financial crisis has impacted on the deviation from the cost-of-carry relationship for emission allowances (EUA) futures contracts. Our results also illustrate a negative relationship between convenience yields and the increasing level of inventory during the first Kyoto commitment period, providing an explanation for the high negative convenience yields. Finally, we find that market participants are willing to pay an additional risk premium in the futures market for a hedge against increased volatility in EUA prices. Overall, our results contribute to the literature on the determinants and empirical properties of convenience yields and risk premiums for this relatively new class of assets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:587-611, 2016 |
| abstract_unstemmed |
We examine convenience yields and risk premiums in the EU-wide CO 2 emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts. We further examine the impact of interest rate levels in the Eurozone, the increasing level of surplus allowances and banking, as well as returns, variance, or skewness in the EU-ETS spot market. Our findings suggest that the drop in risk-free rates during and after the financial crisis has impacted on the deviation from the cost-of-carry relationship for emission allowances (EUA) futures contracts. Our results also illustrate a negative relationship between convenience yields and the increasing level of inventory during the first Kyoto commitment period, providing an explanation for the high negative convenience yields. Finally, we find that market participants are willing to pay an additional risk premium in the futures market for a hedge against increased volatility in EUA prices. Overall, our results contribute to the literature on the determinants and empirical properties of convenience yields and risk premiums for this relatively new class of assets. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:587-611, 2016 |
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Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period |
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