Time-Varying Impacts of Carbon Price Drivers in the EU ETS: A TVP-VAR Analysis

This study analyzes the impacts of different drivers on pricing EU carbon futures in various periods by using time-varying parameter vector autoregressive (TVP-VAR) model. The results indicate that: (1) relationships between oil, gas, electricity, stock prices and price have significant characteristics those experienced an inversion 2016. might be due to pressure achieving “EU 20-20-20” targets signing Paris Agreement as well fine-tuning European Union Emissions Trading Scheme (EU ETS). (2) are various. is more sensitive electricity before short-term, while its response changes after obvious mid-long term. (3) After second quarter 2016, has a greater drivers. oil price’s impact became most one among them.