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The EU ETS: a tale of arbitrage opportunities
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Resumo(s)
This work studies the presence of arbitrage opportunities following the announcements of the Market Stability Reserve of the EU ETS on May 2017, using the cost of carry model and three EUA futures contracts – December 2016, December 2017 and December 2018. The results suggest a long-run link between the spot and futures prices, but the cost of carry model does not explain well the price dynamics in the short run, which might be a sign for the presence of arbitrage opportunities in this market. These conclusions are especially important for European authorities, since they convey the inefficiency of the scheme.
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Palavras-chave
Energy finance European carbon market European Union emissions trading scheme