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A Robust Multivariate Long Run Analysis of European Electricity Prices

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Author Info

  • 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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Related research

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

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Cited by:
  1. repec:mop:credwp:08.09.77 is not listed on IDEAS
  2. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
  3. 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.

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