Data for “From Oil to Carbon: Structural Breaks and Risk Transmission in Carbon and Energy Futures”
Description
Overview This dataset contains daily price and return series for three key markets over December 1, 2008 to December 31, 2020: Brent crude oil futures (fossil energy benchmark), European Renewable Energy Index (ERIX) (clean energy performance proxy), and EU Allowance (EUA) carbon futures (European carbon market benchmark). The data are used to examine time-varying dependence, tail dependence, and volatility spillovers across the carbon–oil–clean energy system. Data sources Brent crude oil futures: collected from the U.S. Energy Information Administration (EIA) petroleum price database. Clean energy market (ERIX): retrieved from Bloomberg. ERIX tracks renewable energy firms with substantial exposure to at least one of the following clusters: marine, geothermal, wind, water, biofuels, and solar. Constituents are selected among the largest and most liquid eligible firms, and weights combine fixed component weights with market-value-based weights. Carbon market (EUA): the EUA futures contract is used (rather than spot) and collected from Wind (sourced from ECX/ICE listings). Contract and sample construction Why EUA futures instead of spot: spot prices can be more volatile and reflect short-term supply-demand conditions, while futures incorporate forward-looking price discovery and can better represent the market’s valuation of carbon scarcity. Sample window choice: the sample starts on December 1, 2008 to avoid the EU ETS Phase I, whose EUA return dynamics differ materially from later phases due to regulatory and trading mechanism changes, and to maintain data availability consistency across series. The sample covers EU ETS Phases II and III. Continuous EUA series: a continuous carbon futures price series is constructed using daily settlement prices from December-expiry EUA contracts (Dec08 through Dec20). For each calendar year, the settlement prices of the corresponding December delivery contract are used to form a continuous daily series. Data processing and variables Frequency: daily observations. How to interpret and use the dataset Brent represents the global fossil-energy benchmark widely used in pricing and risk management. ERIX captures market valuation of listed renewable energy firms and can be used as a clean-energy proxy. EUA futures represent the forward price of carbon allowances in the European emissions trading system and are suitable for analyses that require forward-looking carbon pricing information. Researchers can use these series to replicate dependence and spillover analyses, test alternative models (e.g., different copulas, regime definitions, or volatility specifications), or extend the system with additional assets and macro factors.