Antonietta Mira - Investigating the price determinants of the European Carbon Trading System
Meeting Room 1, San Giobbe Economics Campus
Full title: Investigating the price determinants of the European Carbon Trading System: a non-parametric approach based on Information Imbalance
Speaker: Antonietta Mira (joint with C. Salvagnin, A. Glielmo, M.E. De Giuli)
Abstract: The European carbon market (EUA) plays a pivotal role in the European Union's ambitious target of achieving carbon neutrality by 2050. Understanding the intricacies of factors influencing EUA market prices is paramount for effective policy making and strategy implementation. Employing the Information Imbalance, a nonparametric measure, the study delves into the relationships among macroeconomic, economic, uncertainty, and energy variables concerning EUA prices. Beyond variable selection, we extend the Information Imbalance methodology to time scale selection, identifying the weekly time scale as the most informative. This insight enhances our understanding of the temporal dynamics shaping EUA prices. Additionally, we employ Gaussian Processes for nowcasting and forecasting predictions, emphasising the precision achieved by focusing on the three most informative variables identified by the Information Imbalance model. In essence, the study provides nuanced insights into the evolving dynamics of the EUA market, shedding light on the changing significance of key variables across different phases of the market.
L'evento si terrà in inglese
Department of Economics (EcSeminars)