Energy Price Transmissions during Extreme Movements

24 Pages Posted: 16 Oct 2012

See all articles by Marc Joets

Marc Joets

Université Paris X Nanterre

Date Written: July 27, 2012

Abstract

This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme fluctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution developped by Candelon, Joëts, and Tokpavi (2012). Considering forward energy prices at 1, 10, 20, and 30 months, it turns out that no significant causality exists between markets at regular times whereas comovements are at play during extreme periods especially in bear markets. More precisely, energy prices comovements appear to be stronger at short horizons than at long horizons, testifying an eventual Samuelson mechanism in the maturity prices curve. Diversi…cation strategies tend to be more efficient as maturity increases.

Keywords: forward energy prices, CAViaR approach, risk Spillover

JEL Classification: C32, Q40

Suggested Citation

Joets, Marc, Energy Price Transmissions during Extreme Movements (July 27, 2012). USAEE Working Paper No. 12-133, Available at SSRN: https://ssrn.com/abstract=2162221 or http://dx.doi.org/10.2139/ssrn.2162221

Marc Joets (Contact Author)

Université Paris X Nanterre ( email )

92, av. de la République, Nanterre
Room G301, Building G
Paris, Nanterre Cedex 92001
France

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