Statistical Analysis And Research On The Correlation Between EUA And Crude Market

With Global Climate Change getting more serious,many countries established Emissions Trading Scheme according to Kyoto Protocol.The European Union Emissions Trading Scheme(EU ETS)has the biggest influence.This paper focus on the correlation between European Union Allowances(EUA)under EU ETS and crude futures,and draw some experiences to give advice for China ETS.The paper selects daily settlement prices of EUA Futures and Brent Crude Futures from 2008 to 2016 as sample data to make empirical analysis.On the basis of descriptive statistical analysis,the prices of EUA and crude have positive correlation.The higher demand for crude will raise its price and cost more EUA,then the EUA price will also go up.To make Johansen Co-Integration Test on prices,it is found that the prices between two markets have long-run equilibrium relationship when they are in steady policy and economic environment.Yields of EUA and crude are stationary time series,and show fat-tailed character with conditional heteroscedasticity which can be fitted well by GARCH((1,1).Finally,modelling VAR(2)to study spillover effects and it is found that crude contributes 4%change of EUA,however EUA has no influence on crude.It is consistent with the result of Granger Causality Test,crude is the one-way granger causation of EUA.