Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/73965 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Nota di Lavoro No. 103.2007
Verlag: 
Fondazione Eni Enrico Mattei (FEEM), Milano
Zusammenfassung: 
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.
Schlagwörter: 
European Electricity Prices
Cointegration
Interdependencies
Equilibrium Correction Model
Oil Prices
JEL: 
C15
C32
D44
L94
Q40
Dokumentart: 
Working Paper

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