Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case
The objective of this paper is to investigate the relationships between Spanish electricity spot prices and the US dollar/Euro (USD/Euro) exchange rate during the period 2005-2007, taking into account the study of the association between dollar and oil prices, in order to better understand the evolution of the former over time. The first finding in this study is that Spanish electricity spots prices, the USD/Euro exchange rate and oil prices are cointegrated; therefore there is a long-run equilibrium relationship between the three variables. Short-run relationships have been detected between oil prices and Spanish electricity prices and USD/Euro exchange rate in the sense that Spanish electricity prices and USD/Euro exchange rate are affected by oil prices in the short run. There is a transmission of volatility between USD/Euro exchange rate and oil prices to Spanish electricity prices; so although Spanish electricity prices are not affected in level by the movements of USD/Euro exchange rate, they are in volatility. In this kind of scenario the conclusions confirm that for countries so dependent on external causes as Spain, one possible solution for guarantying the energy security would be the promotion of the renewable energies. Therefore we cannot ignore the impact in the internal expenses of the cost of installation and generation of green energies so there must be a balance between the increase in renewables and the reasonable market price of the electricity.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sadorsky, Perry, 2001. "Risk factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, vol. 23(1), pages 17-28, January.
- M. Martin Boyer & Didier Filion, 2004.
"Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies,"
CIRANO Working Papers
- Boyer, M. Martin & Filion, Didier, 2007. "Common and fundamental factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, vol. 29(3), pages 428-453, May.
- Chen, Shiu-Sheng & Chen, Hung-Chyn, 2007. "Oil prices and real exchange rates," Energy Economics, Elsevier, vol. 29(3), pages 390-404, May.
- Allan w. Gregory & Bruce E. Hansen, 1992.
"residual-Based Tests for Cointegration in Models with Regime Shifts,"
862, Queen's University, Department of Economics.
- Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
- Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
- Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2004.
"Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time,"
Econometric Society, vol. 72(2), pages 647-662, 03.
- Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2001. "Testing for the cointegrating rank of a VAR process with level shift at unknown time," SFB 373 Discussion Papers 2001,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Oberndorfer, Ulrich, 2008. "EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry," ZEW Discussion Papers 08-059, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Carsten Trenkler, 2003.
"A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms,"
AccessEcon, vol. 3(11), pages 1-9.
- Casten TRENKLER, 2003. "A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms," Economics Working Papers ECO2003/07, European University Institute.
- Oberndorfer, Ulrich, 2008. "Returns and Volatility of Eurozone Energy Stocks," ZEW Discussion Papers 08-017, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Narayan, Paresh Kumar & Narayan, Seema & Prasad, Arti, 2008. "Understanding the oil price-exchange rate nexus for the Fiji islands," Energy Economics, Elsevier, vol. 30(5), pages 2686-2696, September.
- Zivot, Eric & Andrews, Donald W K, 1992.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(3), pages 251-70, July.
- Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
- Tom Doan, . "ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test," Statistical Software Components RTS00236, Boston College Department of Economics.
- Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
- Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing,"
Econometric Society, vol. 55(2), pages 251-76, March.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- van Amano, Robert A & Norden, Simon, 1998.
"Exchange Rates and Oil Prices,"
Review of International Economics,
Wiley Blackwell, vol. 6(4), pages 683-94, November.
- Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Intra-day and regime-switching dynamics in electricity price formation," Energy Economics, Elsevier, vol. 30(4), pages 1776-1797, July.
- Regnier, Eva, 2007. "Oil and energy price volatility," Energy Economics, Elsevier, vol. 29(3), pages 405-427, May.
- Sadorsky, Perry, 2000. "The empirical relationship between energy futures prices and exchange rates," Energy Economics, Elsevier, vol. 22(2), pages 253-266, April.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Mohammadi, Hassan, 2009. "Electricity prices and fuel costs: Long-run relations and short-run dynamics," Energy Economics, Elsevier, vol. 31(3), pages 503-509, May.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Cong, Rong-Gang & Wei, Yi-Ming & Jiao, Jian-Lin & Fan, Ying, 2008. "Relationships between oil price shocks and stock market: An empirical analysis from China," Energy Policy, Elsevier, vol. 36(9), pages 3544-3553, September.
- repec:ebl:ecbull:v:3:y:2003:i:11:p:1-9 is not listed on IDEAS
- Indjehagopian, J. P. & Lantz, F. & Simon, V., 2000. "Dynamics of heating oil market prices in Europe," Energy Economics, Elsevier, vol. 22(2), pages 225-252, April.
- Zhang, Yue-Jun & Fan, Ying & Tsai, Hsien-Tang & Wei, Yi-Ming, 2008. "Spillover effect of US dollar exchange rate on oil prices," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 973-991.
- Veith, Stefan & Werner, Jörg R. & Zimmermann, Jochen, 2009. "Capital market response to emission rights returns: Evidence from the European power sector," Energy Economics, Elsevier, vol. 31(4), pages 605-613, July.
- Camarero, Mariam & Tamarit, Cecilio, 2002. "Oil prices and Spanish competitiveness: A cointegrated panel analysis," Journal of Policy Modeling, Elsevier, vol. 24(6), pages 591-605, October.
When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:31:y:2009:i:6:p:857-866. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.