Volatility Spillovers in Energy Markets

Helena Chuliá, Dolores Furió, and Jorge M. Uribe
Authors registered in the RePEc Author Service: Jorge Mario Uribe Gil and Helena Chuliá

The Energy Journal, 2019, vol. Volume 40, issue Number 3

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.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://www.iaee.org/en/publications/ejarticle.aspx?id=3358 (text/html)
Access to full text is restricted to IAEE members and subscribers.

Related works:
Journal Article: Volatility Spillovers in Energy Markets (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aen:journl:ej40-3-furio

Ordering information: This journal article can be ordered from
http://www.iaee.org/en/publications/ejsearch.aspx

Access Statistics for this article

More articles in The Energy Journal from International Association for Energy Economics Contact information at EDIRC.
Bibliographic data for series maintained by David Williams ().