Prohibiting the intertemporal trading of emission allowances induces positive risk premia in futures prices when the trading of the contracts and their expiry take place in time periods separated by this trading ban. In Phase I of the EU Emissions Trading Scheme (EU ETS) these were in the order of about 28% of the futures price on average, depending on the contract's expiry in Phase II. Environmental policy makers should avoid such restrictions as they result in increased hedging costs for polluters that are, since emission allowances represent opportunity costs, potentially borne by consumers. •Restrictions in emissions trading result in increased hedging costs for polluters.•These come in the form of positive risk premia in inter-phase futures prices.•Policy makers should be aware of these cost implications for polluters and consumers.