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A Robust Multivariate Long Run Analysis of European Electricity Prices

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  • Matteo Pelagatti

    (University of Milan-Bicocca)

  • Bruno Bosco

    (Università degli Studi di Milano-Bicocca)

  • Lucia Parisio

    (Università degli Studi di Milano-Bicocca)

  • Fabio Baldi

    (Università degli Studi di Milano-Bicocca and Ref. Ricerche per l’economia e la finanza)

Abstract

This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of long-term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives.

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Bibliographic Info

Paper provided by Fondazione Eni Enrico Mattei in its series Working Papers with number 2007.103.

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Date of creation: Nov 2007
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Handle: RePEc:fem:femwpa:2007.103

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Keywords: European Electricity Prices; Cointegration; Interdependencies; Equilibrium Correction Model; Oil Prices;

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References

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  1. de Jong, Robert M. & Amsler, Christine & Schmidt, Peter, 2007. "A robust version of the KPSS test based on indicators," Journal of Econometrics, Elsevier, vol. 137(2), pages 311-333, April.
  2. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
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  18. Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2007. "Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis," International Advances in Economic Research, Springer, vol. 13(4), pages 415-432, November.
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Cited by:
  1. Elbert Dijkgraaf & Maarten C.W. Janssen, 2009. "Defining European Wholesale Electricity Markets: An “And/Or” Approach," Tinbergen Institute Discussion Papers 09-079/3, Tinbergen Institute.
  2. Guillermo Carlomagnol & Antoni Espasa, 2014. "The pairwise approach to model a large set of disaggregates with common trends," Statistics and Econometrics Working Papers ws141309, Universidad Carlos III, Departamento de Estadística y Econometría.
  3. repec:mop:credwp:08.09.77 is not listed on IDEAS
  4. Sévi, Benoît & Le Pen, Yannick, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Economics Papers from University Paris Dauphine 123456789/5450, Paris Dauphine University.
  5. Marossy, Zita, 2011. "A villamos energia áralakulásának egy új modellje
    [A new model for price movement in electric power]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 253-274.

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