Econometric Analysis of Carbon Markets : The European Union Emissions Trading Scheme and the Clean Development Mechanism

The idea of writing this book naturally came after a discussion with my editor, whom I warmly thank for making this project possible. This book should be extremely useful for researchers and working professionals (trading managers, energy and commodity traders, quantitative analysts, consultants, utilities) in the fields of econometrics and carbon finance. We define carbon markets as the environmental markets created to regulate the emissions of greenhouse gases (including CO2), such as the European Union Emissions Trading Scheme (EU ETS) and the Kyoto Protocol (more precisely the Clean Development Mechanism, CDM). Thisbookisintendedforreaderswithabasicunderstandingoftimeserieseconometrics (such as the linear regression model, vector autoregression, and cointegration).UsefultextbookstorefreshconceptsonthismatterareGujarati(BasicEconometrics, McGraw-Hill) and Hamilton (Time Series Analysis, Princeton University Press). It can be used for teaching econometrics applied to carbon markets at undergraduate or postgraduate levels (M.Sc., MBA), and as a reference for professionals. The content of this book has been presented during lectures on the econometrics of energy markets and on commodity finance at the University Paris Dauphine. It draws on feedback and practical exercises developed with former M.Sc. Students, to whom this book is likewise dedicated.