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The crucial relationship among energy commodity prices: Evidence from the Spanish electricity market
Ist Teil von
Energy policy, 2011-10, Vol.39 (10), p.5898-5908
Ort / Verlag
Kidlington: Elsevier Ltd
Erscheinungsjahr
2011
Link zum Volltext
Quelle
PAIS Index
Beschreibungen/Notizen
The main purpose of this article is twofold to analyze: (a) the long-term relation among the commodities prices and between spot electricity market price and commodity prices, and (b) the short-term dynamics among commodity prices and between electricity prices and commodity prices. Data between 2002 and 2005 from the Spanish electricity market was used. Econometric methods were used in the analysis of the commodity spot price, namely the vector autoregression model, the vector error correction model and the granger causality test. The co-integration approach was used to analyze the long-term relationship between the common stochastic trends of four fossil fuel prices. One of the findings in the long-term relation is that the prices of fuel and the prices of Brent are intertwined, though the prices of Brent ten to “move” to reestablish the price equilibrium. Another finding is that the price of electricity is explained by the evolution of the natural gas series.
► We model energy commodity prices in the Spanish electricity market. ► We examine the short and long-term relationships among commodities prices. ► We examine short and long-term relationships using co-integration techniques. ► We found that in the long run the prices of fuel and Brent are intertwined. ► The evolution of price of electricity is explained by the evolution of price of gas.