A Robust Multivariate Long Run Analysis of European Electricity Prices

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.


Issue Date:
2007
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/7438
Total Pages:
34
JEL Codes:
C15; C32; D44; L94; Q40
Series Statement:
IEM Nota di Lavoro 103.2007




 Record created 2017-04-01, last modified 2017-08-23

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