We use a quantile regression framework to investigate the impact of changes in crude oil prices, naturalgas prices, coal prices, and electricity prices on the distribution of the CO2emission allowance prices inthe United States. We find that: (i) an increase in the crude oil price generates a substantial drop in thecarbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect onthe carbon prices when they are very low but have a positive effect when they are quite high; (iii) theimpact of the changes in the electricity prices on the carbon prices can be positive in the right tail of thedistribution; and (iv) the coal prices exert a negative effect on the carbon prices.