Pelagatti, Matteo Bosco, Bruno Parisio, Lucia Baldi, Fabio
Year of Publication:
Nota di Lavoro, Fondazione Eni Enrico Mattei 103.2007
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.
European Electricity Prices Cointegration Interdependencies Equilibrium Correction Model Oil Prices