A Robust Multivariate Long Run Analysis of European Electricity Prices

Bruno Bosco, Lucia Parisio, Matteo Pelagatti and Fabio Baldi

No 7438, International Energy Markets Working Papers from Fondazione Eni Enrico Mattei (FEEM)

Abstract: 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.

Keywords: Resource/Energy; Economics; and; Policy (search for similar items in EconPapers)
Pages: 34
Date: 2007
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Citations: View citations in EconPapers (8)

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Working Paper: A Robust Multivariate Long Run Analysis of European Electricity Prices (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:feemie:7438

DOI: 10.22004/ag.econ.7438

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