Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Abstract

This study investigates volatility spillovers to electric power from large exogenous shocks in the prices of gas, coal, and carbon emission allowances in the German energy market. Our sample ranges from 2008 to 2016 and covers periods of different market conditions. We use a general VAR-BEKK model and the volatility impulse response function methodology to analyze and evaluate the spillover effects. Special attention is paid to selecting an appropriate econometric volatility model. Our results show that the spillover effects often are of a significant magnitude and display considerable variation over time and across commodities. Coal and gas generate non-negligible spillovers during almost the entire sample period. Carbon has very little impact during the early and late parts of the sample, but generates significant, and highly variable, spillovers during the period from 2011 to the end of 2014.

Detaljer

Författare
Enheter & grupper
Externa organisationer
  • E.ON Sverige AB
  • Statistics Sweden (SCB)
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi

Nyckelord

Originalspråkengelska
Sidor (från-till)231-243
TidskriftJournal of Banking and Finance
Volym95
Tidigt onlinedatum2017 okt 13
StatusPublished - 2018
PublikationskategoriForskning
Peer review utfördJa

Relaterad forskningsoutput

Lunina, V., 2016 nov 16, Lund Economic Series no. 198 uppl. Lund: Department of Economics, Lund Universtiy. 123 s.

Forskningsoutput: AvhandlingDoktorsavhandling (sammanläggning)

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