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Autor
Włodarczyk Aneta (Czestochowa University of Technology, Poland), Kadłubek Marta (Czestochowa University of Technology, Poland)
Tytuł
Use of Mulifactor Models with Garch Structure in Carbon Emissions Risk Management
Źródło
Multidisciplinary Aspects of Production Engineering, 2018, vol. 1, s. 407-413, rys., tab., bibliogr. 14 poz.
Słowa kluczowe
Emisja gazów, Emisja zanieczyszczeń, Zarządzanie ryzykiem, Model GARCH, Przedsiębiorstwo energetyczne
Gas emissions, Pollution emission, Risk management, GARCH model, Energy distribution companies
Uwagi
streszcz., summ.
Abstrakt
Tightening the environmental norms that result from the priorities of the EU 2030 Energy and Climate Package and the reform of the EU ETS have caused the necessity to implement an effective system of managing the risk of carbon dioxide emission and integrate it with the existing enterprise management system. Evaluation of the direction and strength of correlation between EUA price changes and energy companies stock price returns is crucial from point of view the managerial staff making proper decisions about the use of the CO2 emission permits by energy companies. It is an important stage of carbon emission risk management process. The aim of this paper is to verify the possibility of use the multifactor models with GARCH structure as a tool supporting the carbon emission management process in energy companies. Empirical analysis is connected with the estimation of multifactor models with GARCH structure in the Phase II and Phase III of the EU ETS functioning for two groups of Polish energy companies: group of the Respect Index companies and others. Such an approach allows to check whether the Respect Index companies are more robust than others on the carbon emission risk, in particular the EUA price risk associated with the intensification works on modifying the EU ETS functioning. We found that the impact of EUA price changes on energy companies stock returns and their volatility is statistically insignificant in case of all Respect Index companies. (abstrakt oryginalny)
Pełny tekst
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Bibliografia
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  1. Brink, C., Vollebergh, H. R. J. and van der Wert, E. (2016). Carbon pricing in the EU: Evaluation of different EU ETS reform options. Energy Policy, 97, pp. 603-617.
  2. European Parliamentary Research Service (2017). Post-2020 reform of the EU Emissions Trading System. [online] Available at: http://www.europarl.europa.eu/RegData/etudes/BRIE/2017/599398/EPRS_BRI(2017)599398_E N.pdf [Accessed 10 May 2018].
  3. Fan, Y., Jia, J-J., Wang, X. and Xu, J-H. (2017). What policy adjustments in the EU ETS truly affected the carbon prices? Energy Policy, 103, pp. 145-164.
  4. Freitas, C. J. P. and Silva, P. P. (2015). European Union emissions trading scheme impact on the Spanish electricity price during phase II and phase III implementation. Utilities Policy, 33(C), pp. 54-62.
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  6. Joltreau, E. and Sommerfeld, K. (2017). Why Does Emissions Trading under the EU ETS Not Affect Firms' Competitiveness? Empirical Findings from the Literature. Discussion Paper Series IZA DP No. 11253. [online] Bonn: p.3. Available at: http://ftp.iza.org/dp11253.pdf [Accessed 10 May 2018].
  7. Laurent, S. (2013). Estimating and Forecasting ARCH Models Using G@RCHTM 7. London: Timberlake Consultants Ltd.
  8. Mo, J-L., Zhu, L. and Fan, Y. (2012).The impact of the EU ETS on the corporate value of European electricity corporations. Energy, 45, pp. 3-11.
  9. Oberndorfer, U.(2009). EU emission allowances and the stock market: evidence from the electricity industry. Ecological Economics, 68, pp. 1116-1129.
  10. Orsato, R.J. (2009). Sustainability Strategies. When does it pay to be green?. London: Palgrave Macmillan.
  11. Pacana A. and Ulewicz R. (2017). Research of determinants motivating to implement the environmental management system. Polish Journal of Management Studies, [online] Volume 16 (1), pp. 165-174. Available at: https://pjms.zim.pcz.pl/resources/html/article/details?id=158101 [Accessed 8 May 2018].
  12. Ringel, M. and Knodt, M. (2018). The governance of the European Energy Union: Efficiency, effectiveness and acceptance of the Winter Package 2016. Energy Policy, 112, pp. 209-220.
  13. Veith, S., Werner, J.R. and Zimmermann, J. (2009). Capital market response to emissions rights returns: evidence from the European power sector. Energy Economics, 31(4), pp. 605-613.
  14. Wahyuni, D. and Ratnatunga, J. (2015). Carbon strategies and management practices in an uncertain carbonomic environment - lessons learned from the coal-face. Journal of Cleaner Production, 96, pp. 397-406.
Cytowane przez
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ISSN
2545-2827
Język
eng
URI / DOI
http://dx.doi.org/10.2478/mape-2018-0052
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