5th Intenational Conference on Energy & Environment: Bringing together Economics and Engineering - ICEE 2022, Porto (Portugal). 02-03 June 2022
Summary:
The paper assesses volatility spillovers and directional connectedness between the electricity spot prices and fossil fuel prices in a hydrothermal power generation market. The method employed allows the total average connectedness, statically and dynamically, and pairwise spillovers during the sample period to be evaluated. The dataset used in this research consists of monthly logarithmic returns of electricity, coal, natural gas, and crude oil prices between September 2009 and December 2019. The sample period includes the financial and commodity market turmoil. The main finding on the connectedness measures shows that the system average connectedness is 13,6%. Besides, the electricity spot prices are pure shock receivers for most of the sample period, and 20% of their volatility is related to coal, natural gas, and crude oil price fluctuations. The study described the risk of the electricity market by the non-renewable source price fluctuations and provided evidence for designing regulatory policies to reduce its exposure.
Keywords: Energy economics and markets, Volatility spillovers, Energy prices.
Publication date: 2022-06-02.
Citation:
A. Oviedo-Gómez, S.M. Londoño Hernández, D-F. Manotas Duque, Evaluating directional spillovers between electricity and fossil fuel prices in a hydrothermal power generation market, 5th Intenational Conference on Energy & Environment: Bringing together Economics and Engineering - ICEE 2022, Porto (Portugal). 02-03 June 2022.
