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