*3.4. Dataset*

An overview of our dependent variables and the covariates is presented in Table 1. The dependent variable is given by the electricity prices in the day-ahead, as well as intraday spot market. Here, delivery of electricity for a certain hour *h* of day *d* can be traded continuously from 3 p.m. on day *d* − 1 until 30 min before hour *h* on day *d*. Hence, we follow previous research and perform our analysis based on the average hourly price [29]. The prices originate from the European Power Exchange (EPEX), which is a joint venture of the Energy Exchange (EEX) and the French Powernext.


**Table 1.** Overview of variables taken into account in the subsequent evaluation.

*Note:* ENTSO-E is the European Network of Transmission System Operations for Electricity.

Here, our main variable of interest is the price of European Emission Allowance (EUA). Table 2 reports the descriptive statistics. As part of the switch from phase II to III in the EU ETS, the price of EUA has undergone major changes. As such, the mean price per EUA dropped by −54.26 % from e 11.61 to e 5.23. Furthermore, the standard deviation declined by −71.35 % from 3.56 to 1.02.

**Table 2.** Descriptive statistics for the price of European Emission Allowance (in e/tCO2) in phases II and III.

