Understanding the Link Between Aggregated Industrial Production and the Carbon Price - Green Energy and Efficiency: An Economic Perspective - page 122

Fig. 2 ECX futures price and EU industrial production index Source : European climate exchange,
Thomson nancial datastream, Eurostat

Table 3 Summary statistics for CO 2 and macroeconomic variables
D(EUAFUT) D(PRODIND)

Mean

0.000573 8.58E-07

− −

Maximum

0.269001 0.000980

Minimum

0.288246 0.001910

− −

Standard deviation

0.030103 0.000515

Skewness

− 1.169207
Kurtosis 13.66459 5.358974
JB 9527.929 923.0890
Prob(JB) 0.000000 0.000000
Obs. 2008 2008
Note EUAFUT stands for the ECX EUA Futures price, and PRODIND for the EU 27 Industrial
Production Index from Eurostat. The operator D(.) refers to the log-return transformation of the
time series. Std. Dev. Stands for Standard Deviation, JB for the Jarque Bera Test Statistic, Prob
(JB) for the critical value of the Jarque Bera Test Statistic, and Obs. for the number of observations
in daily frequency

− 0.191137

concerning their non-Gaussianity. The price series are not stationary when taken in
raw form, and stationary when transformed to log-returns (i.e., I (1)). Usual unit root
tests (ADF, PP, KPSS) are not reproduced here to conserve space.