The dynamic mutual relationship between the Regional Greenhouse Gas Initiative (RGGI) carbon permit price and energy prices in the U.S. is examined. Results show that the RGGI and electricity markets are not closely linked, although the carbon permit price is usually closely interrelated with energy prices. The loose relationship between the RGGI and electricity markets can be explained by the recent low carbon credit demand which stems from the low greenhouse gas (GHG) emissions existent in the particular area covered by the RGGI. The low GHG emissions result from fuel switching due to recent low natural gas prices. Unlike the European Union Emissions Trading Scheme, natural gas is the key driver of the RGGI system.