Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe

DOI IR (HANDLE) Web Site 6 Citations 27 References Open Access

Bibliographic Information

Published
2020-04
Resource Type
journal article
Rights Information
  • © 2020 by the authors. Licensee MDPI, Basel, Switzerland.
  • This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
DOI
  • 10.3390/en13081900
Publisher
MDPI

Description

Using a fresh empirical approach to time-frequency domain frameworks, this study analyzes the return and volatility spillovers from fossil fuel markets (coal, natural gas, and crude oil) to electricity spot and futures markets in Europe. In the time domain, by an approach developed by Diebold and Yilmaz (2012) which can analyze the directional spillover effect across different markets, we find natural gas has the highest return spillover effect on electricity markets followed by coal and oil. We also find that return spillovers increase with the length of the delivery period of electricity futures. In the frequency domain, using the methodology proposed by Barunik and Krehlik (2018) that can decompose the spillover effect into different frequency bands, we find most of the return spillovers from fossil fuels to electricity are produced in the short term while most of the volatility spillovers are generated in the long term. Additionally, dynamic return spillovers have patterns corresponding to the use of natural gas for electricity generation, while volatility spillovers are sensitive to extreme financial events.

Journal

  • Energies

    Energies 13 (8), 1900-1900, 2020-04

    MDPI

Citations (6)*help

See more

References(27)*help

See more

Related Projects

See more

Keywords

Details 詳細情報について

Report a problem

Back to top