A Robust Multivariate Long Run Analysis of European Electricity Prices

Matteo Pelagatti, Bruno Bosco, Lucia Parisio and Fabio Baldi
Additional contact information
Bruno Bosco: Università degli Studi di Milano-Bicocca
Fabio Baldi: Università degli Studi di Milano-Bicocca and Ref. Ricerche per l’economia e la finanza

No 2007.103, Working Papers from Fondazione Eni Enrico Mattei

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: European Electricity Prices; Cointegration; Interdependencies; Equilibrium Correction Model; Oil Prices (search for similar items in EconPapers)
JEL-codes: C15 C32 D44 L94 Q40 (search for similar items in EconPapers)
Date: 2007-11
New Economics Papers: this item is included in nep-eec and nep-ene
References: Add references at CitEc
Citations: View citations in EconPapers (8)

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Related works:
Working Paper: A Robust Multivariate Long Run Analysis of European Electricity Prices (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:fem:femwpa:2007.103

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