A Robust Multivariate Long Run Analysis of European Electricity Prices

Arbeitspapier

This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of long-term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Nota di Lavoro ; No. 103.2007

Classification and Topics

• Classification: Wirtschaft ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Auctions ; Electric Utilities ; Energy: General
• Subject: European Electricity Prices ; Cointegration ; Interdependencies ; Equilibrium Correction Model ; Oil Prices ; Stromtarif ; Großhandel ; Elektrizitätswirtschaft ; Kointegration ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Pelagatti, Matteo ; Bosco, Bruno ; Parisio, Lucia ; Baldi, Fabio
• Event: Veröffentlichung
• (who): Fondazione Eni Enrico Mattei (FEEM)
• (where): Milano
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/73965
• Last update: 10.03.2025, 11:43 AM CET