Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations

This paper examines the relationship between Eurozone electricity sector portfolios and interest rate changes from 2019 to 2022 using quantile regression. We distinguish between changes in nominal interest rates caused by changes in real interest rates and those caused by changes in expected inflati...

Descripción completa

Detalles Bibliográficos
Autores: Esparcia Sanchís, Carlos, Jareño Cebrián, Francisco, Navarro Arribas, Eliseo
Tipo de recurso: artículo
Fecha de publicación:2025
País:España
Institución:Universidad de Castilla-La Mancha
Repositorio:RUIdeRA. Repositorio Institucional de la UCLM
OAI Identifier:oai:ruidera.uclm.es:10578/43840
Acceso en línea:https://doi.org/10.1016/j.iref.2025.104252
https://www.sciencedirect.com/science/article/pii/S1059056025004150?via%3Dihub
https://hdl.handle.net/10578/43840
Access Level:acceso abierto
Palabra clave:Duration
European electricity market
Expected inflation rates
Inflation-linked swaps
Interest rates
Quantile regression
id ES_6af4f4df2f4864be70da2cf70ddc1eef
oai_identifier_str oai:ruidera.uclm.es:10578/43840
network_acronym_str ES
network_name_str España
repository_id_str
spelling Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectationsEsparcia Sanchís, CarlosJareño Cebrián, FranciscoNavarro Arribas, EliseoDurationEuropean electricity marketExpected inflation ratesInflation-linked swapsInterest ratesQuantile regressionThis paper examines the relationship between Eurozone electricity sector portfolios and interest rate changes from 2019 to 2022 using quantile regression. We distinguish between changes in nominal interest rates caused by changes in real interest rates and those caused by changes in expected inflation. A new feature is the used of inflation-linked swaps to measure inflation expectations. This decomposition provides a richer view of how variations in nominal interest rates affect electricity portfolios. It indicates that real rate changes significantly impact electricity stock returns, while nominal rate changes due to variations in inflation expectations have a smaller effect. The research splits the sample period into two subperiods: a stable period (2019–2020) and a volatile period (2021–2022). Note that an initial training period to calibrate the electricity portfolio optimization approach (January 2015–December 2018) is also included. We also distinguish between companies based on their debt levels. Our findings support the hypothesis that the European electricity sector is significantly exposed to interest rate changes, with notable differences depending on companies leverage. The impact of interest rate changes on electricity portfolio returns is more pronounced during extreme market conditions, such as bearish market states. However, quantile regression analysis suggests that in certain scenarios, electricity companies can pass on some inflationary shocks to their product prices, particularly during bullish market states.Elsevier202520252025info:eu-repo/semantics/articleapplication/pdfapplication/pdfhttps://doi.org/10.1016/j.iref.2025.104252https://www.sciencedirect.com/science/article/pii/S1059056025004150?via%3Dihubhttps://hdl.handle.net/10578/43840reponame:RUIdeRA. Repositorio Institucional de la UCLMinstname:Universidad de Castilla-La ManchaInglésPID2021-128829NB-100SBPLY/21/180501/0000862022-GRIN-34491info:eu-repo/semantics/openAccessoai:ruidera.uclm.es:10578/438402026-05-27T07:36:41Z
dc.title.none.fl_str_mv Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations
title Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations
spellingShingle Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations
Esparcia Sanchís, Carlos
Duration
European electricity market
Expected inflation rates
Inflation-linked swaps
Interest rates
Quantile regression
title_short Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations
title_full Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations
title_fullStr Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations
title_full_unstemmed Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations
title_sort Exploring the interplay between eurozone electricity sector stocks, real interest rates and inflation expectations
dc.creator.none.fl_str_mv Esparcia Sanchís, Carlos
Jareño Cebrián, Francisco
Navarro Arribas, Eliseo
author Esparcia Sanchís, Carlos
author_facet Esparcia Sanchís, Carlos
Jareño Cebrián, Francisco
Navarro Arribas, Eliseo
author_role author
author2 Jareño Cebrián, Francisco
Navarro Arribas, Eliseo
author2_role author
author
dc.subject.none.fl_str_mv Duration
European electricity market
Expected inflation rates
Inflation-linked swaps
Interest rates
Quantile regression
topic Duration
European electricity market
Expected inflation rates
Inflation-linked swaps
Interest rates
Quantile regression
description This paper examines the relationship between Eurozone electricity sector portfolios and interest rate changes from 2019 to 2022 using quantile regression. We distinguish between changes in nominal interest rates caused by changes in real interest rates and those caused by changes in expected inflation. A new feature is the used of inflation-linked swaps to measure inflation expectations. This decomposition provides a richer view of how variations in nominal interest rates affect electricity portfolios. It indicates that real rate changes significantly impact electricity stock returns, while nominal rate changes due to variations in inflation expectations have a smaller effect. The research splits the sample period into two subperiods: a stable period (2019–2020) and a volatile period (2021–2022). Note that an initial training period to calibrate the electricity portfolio optimization approach (January 2015–December 2018) is also included. We also distinguish between companies based on their debt levels. Our findings support the hypothesis that the European electricity sector is significantly exposed to interest rate changes, with notable differences depending on companies leverage. The impact of interest rate changes on electricity portfolio returns is more pronounced during extreme market conditions, such as bearish market states. However, quantile regression analysis suggests that in certain scenarios, electricity companies can pass on some inflationary shocks to their product prices, particularly during bullish market states.
publishDate 2025
dc.date.none.fl_str_mv 2025
2025
2025
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://doi.org/10.1016/j.iref.2025.104252
https://www.sciencedirect.com/science/article/pii/S1059056025004150?via%3Dihub
https://hdl.handle.net/10578/43840
url https://doi.org/10.1016/j.iref.2025.104252
https://www.sciencedirect.com/science/article/pii/S1059056025004150?via%3Dihub
https://hdl.handle.net/10578/43840
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv PID2021-128829NB-100
SBPLY/21/180501/000086
2022-GRIN-34491
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:RUIdeRA. Repositorio Institucional de la UCLM
instname:Universidad de Castilla-La Mancha
instname_str Universidad de Castilla-La Mancha
reponame_str RUIdeRA. Repositorio Institucional de la UCLM
collection RUIdeRA. Repositorio Institucional de la UCLM
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869410149688410112
score 15.81155

Similares en LA Referencia