Energy prices in Europe. Evidence of persistence across markets

This paper deals with the behavior of energy price changes and how their shocks exert an impact on suppliers and consumers in different markets. For this purpose, a fractional integration model is used to evaluate the persistence and mean reversion in prices across the major European markets (German...

Descripción completa

Detalles Bibliográficos
Autores: Martín Valmayor, Miguel Ángel, Gil Alana, Luis A., Infante, Juan
Tipo de recurso: artículo
Fecha de publicación:2023
País:España
Institución:Universidad Villanueva (UV)
Repositorio:DIGI-UV. Repositorio Digital de la Universidad Villanueva
OAI Identifier:oai:digiuv.villanueva.edu:20.500.12766/425
Acceso en línea:https://hdl.handle.net/20.500.12766/425
Access Level:acceso abierto
Palabra clave:Energy consumption
Energy prices
Long memory
Fractional integration
Persistence
id ES_2320f8b811c140d983c7aebf87b5ff21
oai_identifier_str oai:digiuv.villanueva.edu:20.500.12766/425
network_acronym_str ES
network_name_str España
repository_id_str
spelling Energy prices in Europe. Evidence of persistence across marketsMartín Valmayor, Miguel ÁngelGil Alana, Luis A.Infante, JuanEnergy consumptionEnergy pricesLong memoryFractional integrationPersistenceThis paper deals with the behavior of energy price changes and how their shocks exert an impact on suppliers and consumers in different markets. For this purpose, a fractional integration model is used to evaluate the persistence and mean reversion in prices across the major European markets (Germany, France, Italy, UK, Spain). We compare the results with other major players as the US and Japan, to understand, first, if the European behavior is different, and second, if geopolitical shocks that are affecting this market are expected to be permanent. Empirical results show evidence of mean reversion properties in European prices, though some minor differences arise from market to market that apparently, are not associated with the energy generation strategies followed by each country. Thus, it will likely be expected following the current energy shocks the series will recover due to natural market forces, without the need for additional policies.EmpresaElsevier2023info:eu-repo/semantics/articlehttps://hdl.handle.net/20.500.12766/425reponame:DIGI-UV. Repositorio Digital de la Universidad Villanuevainstname:Universidad Villanueva (UV)Ingléshttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:digiuv.villanueva.edu:20.500.12766/4252026-06-11T12:44:17Z
dc.title.none.fl_str_mv Energy prices in Europe. Evidence of persistence across markets
title Energy prices in Europe. Evidence of persistence across markets
spellingShingle Energy prices in Europe. Evidence of persistence across markets
Martín Valmayor, Miguel Ángel
Energy consumption
Energy prices
Long memory
Fractional integration
Persistence
title_short Energy prices in Europe. Evidence of persistence across markets
title_full Energy prices in Europe. Evidence of persistence across markets
title_fullStr Energy prices in Europe. Evidence of persistence across markets
title_full_unstemmed Energy prices in Europe. Evidence of persistence across markets
title_sort Energy prices in Europe. Evidence of persistence across markets
dc.creator.none.fl_str_mv Martín Valmayor, Miguel Ángel
Gil Alana, Luis A.
Infante, Juan
author Martín Valmayor, Miguel Ángel
author_facet Martín Valmayor, Miguel Ángel
Gil Alana, Luis A.
Infante, Juan
author_role author
author2 Gil Alana, Luis A.
Infante, Juan
author2_role author
author
dc.subject.none.fl_str_mv Energy consumption
Energy prices
Long memory
Fractional integration
Persistence
topic Energy consumption
Energy prices
Long memory
Fractional integration
Persistence
description This paper deals with the behavior of energy price changes and how their shocks exert an impact on suppliers and consumers in different markets. For this purpose, a fractional integration model is used to evaluate the persistence and mean reversion in prices across the major European markets (Germany, France, Italy, UK, Spain). We compare the results with other major players as the US and Japan, to understand, first, if the European behavior is different, and second, if geopolitical shocks that are affecting this market are expected to be permanent. Empirical results show evidence of mean reversion properties in European prices, though some minor differences arise from market to market that apparently, are not associated with the energy generation strategies followed by each country. Thus, it will likely be expected following the current energy shocks the series will recover due to natural market forces, without the need for additional policies.
publishDate 2023
dc.date.none.fl_str_mv 2023
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.12766/425
url https://hdl.handle.net/20.500.12766/425
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:DIGI-UV. Repositorio Digital de la Universidad Villanueva
instname:Universidad Villanueva (UV)
instname_str Universidad Villanueva (UV)
reponame_str DIGI-UV. Repositorio Digital de la Universidad Villanueva
collection DIGI-UV. Repositorio Digital de la Universidad Villanueva
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869404622666334208
score 15.300724

Similares en LA Referencia