A robust multivariate long run analysis of European electricity prices
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.
|Date of creation:||Sep 2007|
|Contact details of provider:|| Postal: Via Bicocca degli Arcimboldi 8, 20126 Milano|
Web page: http://www.statistica.unimib.it
More information through EDIRC
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.:
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007.
"Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices,"
Journal of the American Statistical Association,
American Statistical Association, vol. 102, pages 16-27, March.
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute.
- Mount, Timothy D. & Ning, Yumei & Cai, Xiaobin, 2006. "Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters," Energy Economics, Elsevier, vol. 28(1), pages 62-80, January.
- H. Peter Boswijk, 2001.
"Testing for a Unit Root with Near-Integrated Volatility,"
Tinbergen Institute Discussion Papers
01-077/4, Tinbergen Institute.
- Boswijk, H.P., 2000. "Testing for a Unit Root with Near-Integrated Volatility," CeNDEF Working Papers 00-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- H. Peter Boswijk, 2000. "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers 1101, Econometric Society.
- Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
- Whitney K. Newey & Kenneth D. West, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation,"
Review of Economic Studies,
Oxford University Press, vol. 61(4), pages 631-653.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Juan Toro & Natalia Fabra, 2002.
"Price Wars and Collusion in the Spanish Electricity Market,"
Economics Series Working Papers
136, University of Oxford, Department of Economics.
- Fabra, Natalia & Toro, Juan, 2005. "Price wars and collusion in the Spanish electricity market," International Journal of Industrial Organization, Elsevier, vol. 23(3-4), pages 155-181, April.
- Natalia Fabra & Juan Toro, 2001. "Price Wars and Collusion in the Spanish Electricity Market," Economic Working Papers at Centro de Estudios Andaluces E2001/05, Centro de Estudios Andaluces.
- Natalia Fabra & Juan Toro, 2002. "Price Wars and Collusion in the Spanish Electricity Market," Industrial Organization 0212001, EconWPA, revised 31 Aug 2003.
- Donald W.K. Andrews, 1988.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Cowles Foundation Discussion Papers
877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
- Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-478, October.
- Niels Haldrup & Morten O. Nielsen, 2004.
"A Regime Switching Long Memory Model for Electricity Prices,"
Economics Working Papers
2004-2, Department of Economics and Business Economics, Aarhus University.
- Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
- Escribano, Álvaro & Arranz, Miguel A., 2000.
"Outliers robust ECM cointegration test based on the trend components,"
DES - Working Papers. Statistics and Econometrics. WS
10142, Universidad Carlos III de Madrid. Departamento de Estadística.
- Miguel Arranz & Alvaro Escribano, 2004. "Outliers - robust ECM cointegration tests based on the trend components," Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(4), pages 243-266, December.
- Franses, Philip Hans & Lucas, Andre, 1998. "Outlier Detection in Cointegration Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 459-468, October.
- Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2007. "Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 13(4), pages 415-432, November.
- Lucas, Andre, 1995. "An outlier robust unit root test with an application to the extended Nelson-Plosser data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 153-173.
- repec:kap:iaecre:v:13:y:2007:i:4:p:415-432 is not listed on IDEAS
- Byström, Hans, 2001.
"Extreme Value Theory and Extremely Large Electricity Price Changes,"
2001:19, Lund University, Department of Economics.
- Bystrom, Hans N. E., 2005. "Extreme value theory and extremely large electricity price changes," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 41-55.
- Harris, D., 1996.
"Principal Components Analysis of Cointegrated Time Series,"
Monash Econometrics and Business Statistics Working Papers
2/96, Monash University, Department of Econometrics and Business Statistics.
- Harris, David, 1997. "Principal Components Analysis of Cointegrated Time Series," Econometric Theory, Cambridge University Press, vol. 13(04), pages 529-557, August.
- de Jong, Robert M. & Amsler, Christine & Schmidt, Peter, 2007. "A robust version of the KPSS test based on indicators," Journal of Econometrics, Elsevier, vol. 137(2), pages 311-333, April.
- Park, Haesun & Mjelde, James W. & Bessler, David A., 2006. "Price dynamics among U.S. electricity spot markets," Energy Economics, Elsevier, vol. 28(1), pages 81-101, January.
- Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2006. "Deregulated Wholesale Electricity Prices in Italy," Working Papers 20060301, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Apr 2006.
- Huisman, R. & Mahieu, R.J., 2001.
"Regime Jumps in Electricity Prices,"
ERIM Report Series Research in Management
ERS-2001-48-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- De Vany, Arthur S & Walls, W David, 1999. "Price Dynamics in a Network of Decentralized Power Markets," Journal of Regulatory Economics, Springer, vol. 15(2), pages 123-140, March.
- Georg Zachmann, 2005. "Convergence of Electricity Wholesale Prices in Europe?: A Kalman Filter Approach," Discussion Papers of DIW Berlin 512, DIW Berlin, German Institute for Economic Research.
- Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
- Andre Lucas, 1998. "Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 185-214.
- Lucas, André, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, vol. 13(02), pages 149-169, April.
When requesting a correction, please mention this item's handle: RePEc:mis:wpaper:20070901. 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: (Matteo Pelagatti)
If references are entirely missing, you can add them using this form.