(), Karl Larsson
(), Veronika Lunina
() and Birger Nilsson
Rikard Green: E.ON Sverige AB, Postal: S-20509 Malmö, Sweden
Karl Larsson: Statistics Sweden, Postal: S-70189 Örebro, Sweden
Veronika Lunina: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden
Birger Nilsson: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden
Abstract: This study investigates volatility spillovers to electric power from large exogenous shocks in the prices of gas, coal, and carbon emission allowances in the German energy market. Our sample ranges from 2008 to 2016 and covers periods of different market conditions. We use a general VAR-BEKK model and the volatility impulse response function methodology to analyze and evaluate the spillover effects. Special attention is paid to selecting an appropriate econometric volatility model. Our results show that the spillover effects often are of a significant magnitude and display considerable variation over time and across commodities. Coal and gas generate non-negligible spillovers during almost the entire sample period. Carbon has very little impact during the early and late parts of the sample, but generates significant, and highly variable, spillovers during the period from 2011 to the end of 2014.
48 pages, First version: January 13, 2016. Revised: October 11, 2017. Earlier revisions: February 2, 2016, August 27, 2016, May 28, 2017.
Full text files
Questions (including download problems) about the papers in this series should be directed to David Edgerton ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2018-02-06 14:12:41.