The Reliability of Spanish and German Electricity Forward Prices. Databases and Price Discovery Process

Ángela Coronado, Francisco Climent and Dolores Furió
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Ángela Coronado: Departament d’Economia Financera i Actuarial, Facultat d’Economia, Universitat de València, 46022 València, Spain
Francisco Climent: Departament d’Economia Financera i Actuarial, Facultat d’Economia, Universitat de València, 46022 València, Spain
Dolores Furió: Departament d’Economia Financera i Actuarial, Facultat d’Economia, Universitat de València, 46022 València, Spain

Mathematics, 2021, vol. 9, issue 6, 1-18

Abstract: Given the existence of different databases from different sources that offer information on forward electricity prices, the need to compare them arises to guarantee that research results and trading decisions based on them are not sensitive to the database used. We worked with forward electricity prices traded over the counter, closest month to maturity, covering the period from 2010 to 2016 for the Spanish over the counter (OTC) market, and from 2008 to 2016 for the German OTC market. The goal of this paper was to test whether there were significant discrepancies between the price series provided by two of the main agencies of financial information (Thomson Reuters and Bloomberg), as well as to analyze the existence of causality relationships between them, both in the long-term and in the short-term. As a first step, we obtained the data availability and the distributional characteristics of each of the price series offered by the mentioned financial information providers for the Spanish and the German electricity OTC market. Then we studied the lead-lag relationship between two price series, previously chosen as representative of those provided by Thomson Reuters and Bloomberg, to ascertain if there are any leading databases that may systematically anticipate information with respect to the others.

Keywords: electricity; databases; price discovery (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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