Publications
1 - "The impact of the European Union Emission Trading Scheme on the electricitygeneration sector", (with I. Ahamada) Energy Economics (2011), vol. 33, pp. 995-1003.
Abstract: In order to comply with their commitments under the Kyoto Protocol, France and Germany participate in the European Union Emission Trading Scheme (EU ETS) which predominantly concerns the electricity-generation sectors. In this paper we ask whether the EU ETS provides the appropriate economic incentives to produce an efficient system in line with the Kyoto commitments. If so, electricity producers in the countries concerned should include the price of carbon in their cost functions. After identifying different sub-periods of the EU ETS during its pilot phase (2005–2007), we model the prices of various electricity contracts in France and Germany and look at the volatility of electricity prices around their fundamentals while evaluating the correlation between electricity prices in the two countries. We find that electricity producers in both countries were constrained to include the carbon price in their cost functions during the first two years of the EU ETS. Over this period, German electricity producers were more constrained than their French counterparts, and the inclusion of the carbon price in the electricity-generation cost function was much more stable in Germany than in France. We also find evidence of fuel switching in electricity generation in Germany after the collapse of the carbon market. Furthermore, the European market for emission allowances has greatly contributed to the partial alignment of the wholesale price of electricity in France to that in Germany.
2 - "L’impact de la contrainte carbone sur le secteur électrique", (with I. Ahamada) Revue d’Économie Politique (2011), vol. 121, pp. 259-281.
Abstract: This paper asks whether the European Union Emission Trading Scheme (EU ETS) provides economic incentives to reduce carbon emissions. If so, electricity producers should include the price of carbon in their cost functions. After identifying different sub-periods of the EU ETS during its pilot phase (2005-2007), we model day-ahead electricity prices in France and Germany and look at their volatility around the fundamentals white evaluating the correlation between electricity prices in the two countries. We find that electricity producers in both countries were constrained to include the carbon price in their cost functions during the first two years of the EU ETS. We also find evidence of fuel switching in electricity-generation in Germany after the collapse of the carbon market. Furthermore, the EU ETS has greatly contributed to the partial alignment of the wholesale price of electricity in France to that in Germany.
Working papers:
3- "The impact of phase II of the EU ETS on wholesale electricity prices" (2012), (with I. Ahamada) Cahiers du CES (2012.07). Under review for Energy Economics.
Abstract : This paper addresses the economic impact of the European Union Emission Trading Scheme (EU ETS) for carbon on wholesale electricity prices in France and Germany during the Kyoto commitment period (2008-2012). Specifically, we use first identify a structural break occurred on the carbon spot price series on October 2008, which is mainly resulting from the financial and economic crisis. Then, we model the prices of day-ahead electricity contracts. We look at the volatilities around their fundamentals and simultaneously evaluate the correlation between electricity prices in both countries. We find that the price of carbon does not matter for electricity prices in either countries before October 2008. After October 2008, electricity producers in both countries were constrained to include the carbon price in their cost functions. During that period, French electricity producers were more constrained than their German counterparts. Comparing the results with those reported in Kirat and Ahamada (2011) reveals improvements in the response of electricity generation sector to carbon constraints. The impact of carbon constraint increased significantly by 300% and 150% in France and Germany, respectively, between the pilot phase and the second phase of the EU ETS. This is a consequence of the possibility of "banking" for subsequent periods and the reduction of allowance caps introduced in the second phase. We also find evidence of a trade off between gas and coal in electricity generation in Germany. Furthermore, the conditional correlation of electricity prices in both countries is highly significant and greater than during the pilot phase of the EU ETS.
4- "Evidence of nonlinear effect of the EU ETS on the electricity-generation sector" (2012), (with I. Ahamada) , Cahiers du CES (2012.47).
Abstract : This article considers the evidence for threshold effects in the relationship between electricity and emission permit prices in France and Germany during the second phase of the EU ETS. Specifically, we compare linear and nonlinear threshold models of electricity prices using Hansen's (2000) approach of sample splitting and threshold estimation. We find evidence of nonlinear threshold effects in both countries. The estimated carbon price thresholds are 14.94 € and 12.57 € in France and Germany, respectively. In Germany, the carbon price does not affect the electricity price below this threshold. In France, the price of emission allowances affects the cost of electricity generation only below the carbon-price threshold, thus revealing speculative behavior by French electricity producers on the carbon-allowance market. This is not the case for German electricity producers
"Carbon price drivers in the second phase of the EU ETS"(Job Market Paper)
Works in progess
"Carbon Tax Project, Geographical Heterogeneities and Distribution", (with I. Ahamada and Mouez Fodha)
"CER and EUA price interactions", (with Claire Gavard.)