Date of This Version
December 2007
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.
Recommended Citation
Pelagatti, Matteo M.; Bosco, Bruno; Parisio, Lucia; and Baldi, Fabio, "A Robust Multivariate Long Run Analysis of European Electricity Prices" (December 10, 2007). Fondazione Eni Enrico Mattei Working Papers. Paper 162.
https://services.bepress.com/feem/paper162