Assessing Rollover Criteria for EUAs and CERs

Yıl 2014, Cilt: 4 Sayı: 3, 669 - 676, 01.09.2014

Oscar Carchano Vicente Medina Angel Pardo

Öz

This study discusses how to roll over European Union Allowances (EUAs) and
Certified Emissions Reduction (CERs) futures contracts with different maturities. The aim is to
elucidate whether or not the choice of rollover date is important when constructing EUAs and CERs
continuous futures time series. We have applied five different methodologies to link the series and our
findings indicate that return distributions do not significantly differ for the different criteria. This
result has direct practical implications in the field of applied econometrics of carbon markets given
that we prove that the selection of the simple last-day rollover methodology criterion has no downside
not only in terms of returns distribution but also with respect to liquidity levels.

Anahtar Kelimeler

Rollover date, European Union Allowances (EUAs), Certified Emission Reductions (CERs)