The inconvenience yield of carbon futures

The inconvenience yield of carbon futures

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The inconvenience yield of carbon futures

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Pardo Tornero, Ángel; Palao, Fernando
This document is a artículoDate2021
Since 2009, the European Carbon Futures Market has been in a permanent contango situation that is characterised by systematic negative convenience yields that allow investors to exploit profitable arbitrage opportunities. The objective of this paper is to analyse the possible drivers of these negative convenience yields. Our empirical results indicate that although some carbon trading variables are behind this contango situation, the carbon inconvenience yield is better explained if other financial markets and variables are considered, suggesting a financialization of the European Carbon Futures Market.

    Fernando Palao, Ángel Pardo, The inconvenience yield of carbon futures, Energy Economics, Volume 101, 2021, 105461, ISSN 0140-9883, Elsevier

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