A Robust Multivariate Long Run Analysis of European Electricity Prices
AbstractThis 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 InfoPaper provided by Fondazione Eni Enrico Mattei in its series Working Papers with number 2007.103.
Date of creation: Nov 2007
Date of revision:
European Electricity Prices; Cointegration; Interdependencies; Equilibrium Correction Model; Oil Prices;
Other versions of this item:
- Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2007. "A robust multivariate long run analysis of European electricity prices," Working Papers 20070901, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-08 (All new papers)
- NEP-EEC-2008-03-08 (European Economics)
- NEP-ENE-2008-03-08 (Energy Economics)
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