Energy price transmissions during extreme movements

Marc Joëts

Economic Modelling, 2014, vol. 40, issue C, 392-399

Abstract: This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme fluctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution developed by Candelon, Joëts, and Tokpavi (2013). Considering forward energy prices at 1, 10, 20, and 30months, it turns out that no significant causality exists between markets at regular times whereas comovements are at play during extreme periods especially in bear markets. More precisely, energy prices comovements appear to be stronger at short horizons than at long horizons, testifying an eventual Samuelson mechanism in the maturity prices curve. Diversification strategies tend to be more efficient as maturity increases.

Keywords: Forward energy prices; Value-at-Risk (VaR); CAViaR approach; Risk spillover; Granger causality (search for similar items in EconPapers)
JEL-codes: C32 Q40 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Energy price transmissions during extreme movements (2013)
Working Paper: Energy price transmissions during extreme movements (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:40:y:2014:i:c:p:392-399

DOI: 10.1016/j.econmod.2013.11.023

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