The impacts of variable renewable production and market coupling on the convergence of French and German electricity prices
Keppler, Jan-Horst; Le Pen, Yannick; Phan, Sébastien (2016), The impacts of variable renewable production and market coupling on the convergence of French and German electricity prices, The Energy Journal, 37, 3, p. 343-359. 10.5547/01956574.37.3.jkep
TypeArticle accepté pour publication ou publié
Journal nameThe Energy Journal
MetadataShow full item record
Le Pen, Yannick
Abstract (EN)As speculative flows into commodity futures are expected to link commodity prices more strongly to equity indices, we investigate whether this process also creates increased correlations amongst the commodities themselves. Considering U.S. oil and gas futures, we investigate whether common factors, derived from a large international data set of real and nominal macroeconomic variables by means of the large approximate factor models methodology, are able to explain both returns and whether, beyond these fundamental common factors, the residuals remain correlated. We further investigate a possible explanation for this residual correlation by using some proxies for trading intensity derived from CFTC publicly available data, showing most notably that the proxy for speculation in the oil market increases the oil-gas correlation. We thus identify the central role of financial activities in shaping the link between oil and gas returns.
Subjects / Keywordselectricity price convergence; renewable energies; intermittency; market coupling; France; Germany
Showing items related by title and author.
The Impact of Intermittent Renewable Production and Market Coupling on the Convergence of French and German Electricity Prices Boureau, Charlotte; Le Pen, Yannick; Phan, Sébastien; Keppler, Jan-Horst (2014) Document de travail / Working paper
Short-term and Long-Term System Effects of Intermittent Renewables on Nuclear Energy and the Electricity Mix Keppler, Jan-Horst; Cometto, Marco (2013) Communication / Conférence
Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS Keppler, Jan-Horst; Mansanet-Bataller, Maria (2010) Article accepté pour publication ou publié
Cometto, Marco; Keppler, Jan-Horst (2019) Rapport
Cometto, Marco; Keppler, Jan-Horst (2012) Rapport