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A robust multivariate long run analysis of European electricity prices

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Author Info

  • Bruno Bosco
  • Lucia Parisio
  • Matteo Pelagatti
  • Fabio Baldi

Abstract

This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of our robust multivariate long run dynamic analysis reveal the presence of four highly integrated central European markets (France, Germany, the Netherlands and Austria). The trend shared by these four electricity markets appears to be common also to gas prices, but not to oil prices. The existence of long term dynamics among electricity prices and between electricity prices and gas prices may prove to be important for long term hedging operations to be conducted even in countries where well established and liquid electricity derivatives markets are not present. Since standard unit root and cointegration tests are not robust to the peculiar characteristics of electricity prices time series, we adapt and further develop a battery of robust inference procedures that should assure the reliability of our results.

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File URL: http://www.statistica.unimib.it/utenti/WorkingPapers/WorkingPapers/20070901.pdf
File Function: First version, September 2007
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Bibliographic Info

Paper provided by Università degli Studi di Milano-Bicocca, Dipartimento di Statistica in its series Working Papers with number 20070901.

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Length: 29 pages
Date of creation: Sep 2007
Date of revision:
Handle: RePEc:mis:wpaper:20070901

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Related research

Keywords: European electricity prices; Cointegration; Interdependencies; Equilibrium Correction model; Oil prices; Robustness;

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References

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Citations

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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.
  4. 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.

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