<abstract xmlns="http://www.w3.org/1999/xhtml">
<p>This paper aims to verify the relationship between the international markets for crude oil and carbon credits. We studied the returns of prices practiced in these markets, focusing on the transmission of shocks between oil prices and carbon credit prices. The methodological approach used financial econometrics to study these variables’ risk and return relationships. Besides causality and cointegration hypothesis tests, the VECM and GARCH models were estimates. There is a short- and long-term interaction between these variables. The volatility models show a significant association between the volatilities of the two variables of interest. Fossil fuels, mainly crude oil, generate energy that has substantial restrictions. At the same time, the carbon credits market has shown significant growth that can contribute to the use of energy from fossil fuels with parsimony and responsibility. Studying these variables and their interactions contributes to understanding the importance of the carbon market.</p>
</abstract>

This paper aims to verify the relationship between the international markets for crude oil and carbon credits. We studied the returns of prices practiced in these markets, focusing on the transmission of shocks between oil prices and carbon credit prices. The methodological approach used financial econometrics to study these variables’ risk and return relationships. Besides causality and cointegration hypothesis tests, the VECM and GARCH models were estimates. There is a short- and long-term interaction between these variables. The volatility models show a significant association between the volatilities of the two variables of interest. Fossil fuels, mainly crude oil, generate energy that has substantial restrictions. At the same time, the carbon credits market has shown significant growth that can contribute to the use of energy from fossil fuels with parsimony and responsibility. Studying these variables and their interactions contributes to understanding the importance of the carbon market.

Carbon Credits and Crude Oil: An Investigation of the Price Returns Interaction in the International Market

Universidade Federal do Rio de Janeiro, Escola Politécnica

Naše gospodarstvo/Our economy

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

This paper aims to verify the relationship between the international markets for crude oil and carbon credits. We studied the returns of prices practiced in...

Carbon Credits and Crude Oil: An Investigation of the Price Returns Interaction in the International Market

Data publikacji: 03 kwi 2024

Zakres stron: 1 - 12

Otrzymano: 01 sty 2024

Przyjęty: 01 lut 2024

DOI: https://doi.org/10.2478/ngoe-2024-0001

Słowa kluczowe
Carbon credit, Crude oil price, VECM model, Volatility model

© 2024 André Assis de Salles et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Carbon Credits and Crude Oil: An Investigation of the Price Returns Interaction in the International Market

Data publikacji: 03 kwi 2024

Zakres stron: 1 - 12

Otrzymano: 01 sty 2024

Przyjęty: 01 lut 2024

DOI: https://doi.org/10.2478/ngoe-2024-0001

Słowa kluczoweCarbon credit, Crude oil price, VECM model, Volatility model

© 2024 André Assis de Salles et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Słowa kluczowe
Carbon credit, Crude oil price, VECM model, Volatility model