This paper presents an analysis of the influence of gas, coal, electricity and Brent (crude oil) prices on the EU emission allowance price by means of a vector autoregression analysis. Statistically significant influences on the price of CO2 emission allowances can be identified for all energy market variables examined, except electricity prices. Thus, the present analysis supports the assumptions of earlier publications that the influence of the energy market on the European Emissions Trading System (EU ETS) is decreasing and that the efforts of the European Commission are having an effect. The EU ETS is designed to stimulate the reduction of emissions by setting caps and to create monetary incentives for investment in new, low-emission technologies by trading emission allowances. However, the allocation efficiency of this system is conditional on the relative price stability of the emission allowances, as this is the only way to make reliable forecasts for risk calculations and investment decisions by companies. Using a vector autoregression model (VAR), this paper demonstrates significant influences of energy prices on the European Emission Allowances (EUA) price in the third phase of the EU ETS.