Price dynamics in the European union emissions trading system
: an empirical study of carbon allowances

  • Áron Zsolt Tenke (Student)

Student thesis: Master's Thesis


The European Union Emissions Trading System (EU ETS) has become a crucial element in regulating emissions across the EU. This study investigates the daily price fluctuations of European Union Allowances (EUAs), focusing on their price driving mechanics. The main focus of this analysis is the interplay between carbon prices, energy commodities, electricity prices, stock market performance, the profitability of coal and gas fired power plants, and weather temperature levels. The investigated sample consists of daily futures prices from 2005 to 2022. Robust methodologies such as Ordinary Least Squares and Vector Error Correction are applied to achieve significant results, which support the hypothesis of the above-mentioned variables influencing carbon prices. I find that these effects vary in each phase of the EU ETS, since these periods had different characteristics that affected these correlations. The results of this research contribute to the existing literature, offering insights for policy makers, companies that are part of the EU ETS, and market participants about the dynamics of the EUA market.
Date of Award26 Jan 2024
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorZoe Venter (Supervisor)


  • EU ETS
  • EUA
  • CO2 futures
  • Emission
  • Carbon pricing
  • Energy markets
  • Vector error correction
  • Cointegration


  • Mestrado em Finanças

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