Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This paper provides insight into the relationship between intermittent wind power generation and electricity price behaviour in Germany. Using a GARCH model, the effect of wind electricity in-feed on level and volatility of the electricity price can be evaluated in an integrated approach. The results show that variable wind power reduces the price level but increases its volatility. With a low and volatile wholesale price, the profitability of electricity plants, conventional or renewable, is more uncertain. Consequently, the construction of new plants is at risk, which has major implications for the energy market and the security of supply. These challenges, related to the integration of renewables, require adjustments to the regulatory and the policy framework of the electricity market. This paper's results suggest that regulatory change is able to stabilise the wholesale price. It is found that the electricity price volatility has decreased in Germany after the marketing mechanism of renewable electricity was modified. This gives confidence that further adjustments to regulation and policy may foster a better integration of renewables into the power system. JEL Code: Q42, Q48, C22. Terms of use: Documents in

This article applies different copulas to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities and financial markets. Firstly, we find a significant relationship between EUA returns and those of the other considered variables that is most appropriately modelled by a Gaussian and Student-t copula. These results contradict some earlier studies that report no statistically significant or even negative correlations between returns of emission allowances and other financial variables. Secondly, considering time-varying copulas shows that the estimated copula parameters are not constant over time. We find in particular that the dependence is stronger during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages of copula methods. In particular, the Student-t copula provides an appropriate quantification of VaR at different confidence levels while other models fail to specify the risk correctly. This analysis shows that ignoring the actual nature of dependence might lead to an underestimation of the risk for portfolios combining EUAs with commodities or equity investments.

Recently, energy security in Western Europe seems to be at risk. Around the turn of the year 2005/2006, the Russian freezing of natural gas exports to and via the Ukraine led to a European gas crisis, triggering off intensive debates about energy security all over Europe. Using an event study approach, we assess whether or not the Russian announcement of suspension of gas deliveries, this suspension itself as well as its withdrawal had an impact on West European utilities' as well as oil and gas companies' stocks. Besides the intention of putting the phenomenon of energy security on the agenda of economists dealing with financial markets, this paper should contribute to the methodological enhancements of event studies in the field of resource and environmental economics. In this respect, besides looking at stock returns, we consider autoregressive conditional heteroskedasticity in our methodological framework and assess event impacts on return volatility. We find that the announcement of the crisis accompanied by resource and electricity price increases and therefore a rise of Western Europe's energy risk and costs tended to increase market expectations with respect to energy-related firms. The renewal of gas deliveries increased market uncertainty. One factor behind these findings could be windfall profits of energy-related companies due to increasing resource and electricity prices. All in all, our results suggest that energy policy does not have to bear in mind negative effects for energyrelated firms in situations when security of energy supply is in danger. In contrast, our findings indicate that the energy sector may even profit from energy crises that induce resource price hikes. Given this, it is far from surprising that policy generally considers energy supply as a matter of public concern that should not fully be left to the strategic calculus of private companies.

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