The connectedness features of German electricity futures over short and long maturities

Angelica Gianfreda, Giacomo Scandolo and Derek Bunn

Finance Research Letters, 2024, vol. 70, issue C

Abstract: This research provides an extensive characterization of the contagion between electricity, energy commodities, financial assets and economic indicators across several maturities. Despite the widespread importance of electricity futures, this has been an under-researched topic. The evolution of connectedness is investigated between 2006 and 2023. With a special focus on electricity forward base and peak contracts, results show that the contagion effects are moderate but evolve through time, with greater impacts observed during the crisis years. We confirm that electricity forward prices are more sensitive to operators’ future expectations on fundamental market conditions than to financial and economic shocks.

Keywords: Electricity futures; Contagion; Commodities; Energy crises; Connectedness; Sentiment (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013448

DOI: 10.1016/j.frl.2024.106315

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