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Volatility Spillovers in Energy Markets

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  • 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
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    References listed on IDEAS

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    2. Bendiksen, Vidar & Løining, Lars Olai Fjellestad & Lyócsa, Štefan, 2025. "Cross-border and cross-regional electricity transmission: Is there a price impact in south Norway?," Energy Economics, Elsevier, vol. 150(C).
    3. 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).
    4. 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).
    5. Mao, Yaqi & Yu, Xiaobing & Liu, Jia & Wang, Feng & Zhang, Aixin & Zhu, Junhua, 2025. "Disentangling market drivers and macro uncertainty risks in crude oil futures pricing: A multi-scale quantile regression and causal forest approach," Energy, Elsevier, vol. 332(C).
    6. 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).
    7. 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).
    8. Schischke, Amelie & Rathgeber, Andreas, 2025. "The impact of renewables on spillover effects in electricity markets," Applied Energy, Elsevier, vol. 399(C).

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