IDEAS home Printed from https://ideas.repec.org/a/sae/enejou/v40y2019i3p173-198.html
   My bibliography  Save this article

Volatility Spillovers in Energy Markets

Author

Listed:
  • Helena Chuliá
  • Dolores Furió
  • Jorge M. Uribe

Abstract

We investigate the extent and evolution of the links between energy markets using a broad data set consisting of a total of 17 series of prices for commodities such as electricity, natural gas, coal, oil and carbon. The results shed light on a number of relevant issues such as the volatility spillover effect in energy markets (within and across sectors) and the identification of those markets that are exporters (importers) of volatility to (from) other markets, as well as evidence of the time-varying nature of these effects. The main conclusions are: (i) the most integrated European electricity markets appear to be those of Germany, France and the Netherlands; (ii) the Dutch Title Transfer Facility might be on the way to becoming the benchmark price for natural gas in Europe, and (iii) natural gas may be replacing crude oil as the global benchmark price for energy commodities.

Suggested Citation

  • Helena Chuliá & Dolores Furió & Jorge M. Uribe, 2019. "Volatility Spillovers in Energy Markets," The Energy Journal, , vol. 40(3), pages 173-198, May.
    • Handle: RePEc:sae:enejou:v:40:y:2019:i:3:p:173-198
    DOI: 10.5547/01956574.40.3.hchu
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.5547/01956574.40.3.hchu
    Download Restriction: no
    File URL: https://libkey.io/10.5547/01956574.40.3.hchu?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Jozef Baruník & Evžen KoÄ enda b,a & Lukáš Vácha, 2016. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, , vol. 37(1), pages 136-158, January.
    2. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2016. "Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk," Energy Economics, Elsevier, vol. 54(C), pages 159-172.
    3. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    4. de Menezes, Lilian M. & Houllier, Melanie A., 2016. "Reassessing the integration of European electricity markets: A fractional cointegration analysis," Energy Economics, Elsevier, vol. 53(C), pages 132-150.
    5. Jan Bentzen, 2007. "Does OPEC influence crude oil prices? Testing for co-movements and causality between regional crude oil prices," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1375-1385.
    6. Castagneto-Gissey, G. & Chavez, M. & De Vico Fallani, F., 2014. "Dynamic Granger-causal networks of electricity spot prices: A novel approach to market integration," Energy Economics, Elsevier, vol. 44(C), pages 422-432.
    7. Giorgio Castagneto-Gissey & Mario Chavez & Fabrizio de Vico Fallani, 2014. "Dynamic Granger-causal networks of electricity spot prices: A novel approach to market integration," Post-Print hal-01023418, HAL.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Francesco Ravazzolo & Luca Rossini, 2023. "Is the Price Cap for Gas Useful? Evidence from European Countries," Working Papers 2023.23, Fondazione Eni Enrico Mattei.
    2. Lyu, Chenyan & Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2024. "Volatility spillovers and carbon price in the Nordic wholesale electricity markets," Energy Economics, Elsevier, vol. 134(C).
    3. Kočenda, Evžen & Moravcová, Michala, 2024. "Frequency volatility connectedness and portfolio hedging of U.S. energy commodities," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
    5. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Nguyen, Duc Khuong, 2020. "Dynamic volatility spillover effects between oil and agricultural products," International Review of Financial Analysis, Elsevier, vol. 69(C).
    6. Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
    7. Lovcha, Yuliya & Perez-Laborda, Alejandro & Sikora, Iryna, 2022. "The determinants of CO2 prices in the EU emission trading system," Applied Energy, Elsevier, vol. 305(C).
    8. Toan Luu Duc Huynh & Muhammad Shahbaz & Muhammad Ali Nasir & Subhan Ullah, 2022. "Financial modelling, risk management of energy instruments and the role of cryptocurrencies," Annals of Operations Research, Springer, vol. 313(1), pages 47-75, June.
    9. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
    10. Donia Aloui & Stéphane Goutte & Khaled Guesmi & Rafla Hchaichi, 2020. "COVID 19's impact on crude oil and natural gas S&P GS Indexes," Working Papers halshs-02613280, HAL.
    11. Okhrin, Yarema & Uddin, Gazi Salah & Yahya, Muhammad, 2023. "Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets," Energy Economics, Elsevier, vol. 125(C).
    12. Xie, Qichang & Bai, Yu & Jia, Nanfei & Xu, Xin, 2024. "Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods," Energy Economics, Elsevier, vol. 134(C).
    13. Papież, Monika & Rubaszek, Michał & Szafranek, Karol & Śmiech, Sławomir, 2022. "Are European natural gas markets connected? A time-varying spillovers analysis," Resources Policy, Elsevier, vol. 79(C).
    14. Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).
    15. Qi, Haozhi & Ma, Lijun & Peng, Pin & Chen, Hao & Li, Kang, 2022. "Dynamic connectedness between clean energy stock markets and energy commodity markets during times of COVID-19: Empirical evidence from China," Resources Policy, Elsevier, vol. 79(C).
    16. Umberto Desideri & Alaa Krayem & Eva Thorin, 2023. "The Unprecedented Natural Gas Crisis in Europe: Investigating the Causes and Consequences with a Focus on Italy," Energies, MDPI, vol. 16(16), pages 1-21, August.
    17. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2022. "Long-memory and volatility spillovers across petroleum futures," Energy, Elsevier, vol. 243(C).
    18. Szafranek, Karol & Papież, Monika & Rubaszek, Michał & Śmiech, Sławomir, 2023. "How immune is the connectedness of European natural gas markets to exceptional shocks?," Resources Policy, Elsevier, vol. 85(PA).
    19. Chu, Wen-Jun & Fan, Li-Wei & Zhou, P., 2024. "Extreme spillovers across carbon and energy markets: A multiscale higher-order moment analysis," Energy Economics, Elsevier, vol. 138(C).
    20. Chen, Hao & Xu, Chao & Peng, Yun, 2022. "Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China," Resources Policy, Elsevier, vol. 78(C).
    21. Uribe, Jorge M. & Mosquera-López, Stephania & Arenas, Oscar J., 2022. "Assessing the relationship between electricity and natural gas prices in European markets in times of distress," Energy Policy, Elsevier, vol. 166(C).
    22. Uribe, Jorge M. & Mosquera-López, Stephanía & Guillen, Montserrat, 2020. "Characterizing electricity market integration in Nord Pool," Energy, Elsevier, vol. 208(C).
    23. Murè, Pina & Paccione, Cosimo & Marzioni, Stefano & Giorgio, Saverio, 2024. "How electricity and natural gas prices affect banking systemic risk," Research in International Business and Finance, Elsevier, vol. 72(PA).
    24. Gianfreda, Angelica & Scandolo, Giacomo & Bunn, Derek, 2024. "The connectedness features of German electricity futures over short and long maturities," Finance Research Letters, Elsevier, vol. 70(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2020. "Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets," Energy Economics, Elsevier, vol. 92(C).
    2. Abdullah, Mohammad & Abakah, Emmanuel Joel Aikins & Wali Ullah, G M & Tiwari, Aviral Kumar & Khan, Isma, 2023. "Tail risk contagion across electricity markets in crisis periods," Energy Economics, Elsevier, vol. 127(PB).
    3. Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).
    4. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
    5. Shi Chen & Wolfgang Karl Hardle & Brenda L'opez Cabrera, 2020. "Regularization Approach for Network Modeling of German Power Derivative Market," Papers 2009.09739, arXiv.org.
    6. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Hammoudeh, Shawkat, 2022. "The connectedness in the world petroleum futures markets using a Quantile VAR approach," Journal of Commodity Markets, Elsevier, vol. 27(C).
    7. Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley, 2017. "Extreme risk spillover network: application to financial institutions," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1417-1433, September.
    8. Samarth Kumar & David Schönheit & Matthew Schmidt & Dominik Möst, 2019. "Parsing the Effects of Wind and Solar Generation on the German Electricity Trade Surplus," Energies, MDPI, vol. 12(18), pages 1-17, September.
    9. Davide Ciferri & Maria Chiara D’Errico & Paolo Polinori, 2020. "Integration and convergence in European electricity markets," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 463-492, July.
    10. Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023. "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, vol. 127(PB).
    11. Yan, Guan & Trück, Stefan, 2020. "A dynamic network analysis of spot electricity prices in the Australian national electricity market," Energy Economics, Elsevier, vol. 92(C).
    12. Cassetta, Ernesto & Nava, Consuelo R. & Zoia, Maria Grazia, 2022. "A three-step procedure to investigate the convergence of electricity and natural gas prices in the European Union," Energy Economics, Elsevier, vol. 105(C).
    13. Bigerna, Simona & Bollino, Carlo Andrea & Ciferri, Davide & Polinori, Paolo, 2017. "Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications," Renewable and Sustainable Energy Reviews, Elsevier, vol. 68(P1), pages 199-211.
    14. Hung Do & Rabindra Nepal & Russell Smyth, 2020. "Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis," The Economic Record, The Economic Society of Australia, vol. 96(315), pages 450-469, December.
    15. shah, Adil Ahmad & Bhanja, Niyati & Dar, Arif Billah, 2023. "Do gold and the US dollar diversify global sectoral risk? Evidence from connectedness and dynamic conditional correlation measures," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    16. Liu, Tangyong & Gong, Xu, 2020. "Analyzing time-varying volatility spillovers between the crude oil markets using a new method," Energy Economics, Elsevier, vol. 87(C).
    17. Cassetta, Ernesto & Nava, Consuelo R. & Zoia, Maria Grazia, 2022. "EU electricity market integration and cross-country convergence in residential and industrial end-user prices," Energy Policy, Elsevier, vol. 165(C).
    18. Hasan, Mudassar & Arif, Muhammad & Naeem, Muhammad Abubakr & Ngo, Quang-Thanh & Taghizadeh–Hesary, Farhad, 2021. "Time-frequency connectedness between Asian electricity sectors," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 208-224.
    19. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
    20. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.

    More about this item

    Keywords

    Spillover effect; Market integration; International benchmark; Forecast error variance decomposition;
    All these keywords.

    JEL classification:

    • F0 - International Economics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:enejou:v:40:y:2019:i:3:p:173-198. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.