Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73965
Authors: 
Pelagatti, Matteo
Bosco, Bruno
Parisio, Lucia
Baldi, Fabio
Year of Publication: 
2007
Series/Report no.: 
Nota di Lavoro, Fondazione Eni Enrico Mattei 103.2007
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.
Subjects: 
European Electricity Prices
Cointegration
Interdependencies
Equilibrium Correction Model
Oil Prices
JEL: 
C15
C32
D44
L94
Q40
Document Type: 
Working Paper

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