Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads

Ergemen, Yunus Emre; Haldrup, Niels; Rodríguez-Caballero, Carlos Vladimir

doi:10.1016/j.eneco.2016.09.008

Cited by 21 publications

(14 citation statements)

References 32 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The literature reviewed in the previous section stresses the need for a multivariate (system) approach to the modelling of electricity prices. In this spirit, recent studies ( [27][28][29]) advocate the use of panel data models, which mitigate many of the weaknesses of the univariate specifications and other multivariate paradigms (such as vector autoregressions). Panel data models can vary the pricing relationship between hourly trading sessions (this is the so-called slope heterogeneity property) by using regressors that are pertinent to each session (hour-specific regressors).…”

Section: Purpose Of the Studymentioning

confidence: 99%

“…Later in this paper, we attempt to explain the estimated price elasticities to various fundamental drivers on the grounds of the involved generation technologies and their relative share in the total energy supply. Other studies adopt a similar design ( [28,29]) but use older data and focus on a single market. Afanasyev et al [18] also examine pricing laws in three European markets employing univariate modelling techniques, with all the risks mentioned earlier in this paper.…”

Section: Purpose Of the Studymentioning

confidence: 99%

See 1 more Smart Citation

Fundamental Responsiveness in European Electricity Prices

2021

View full text Add to dashboard Cite

We estimate fundamental pricing relationships in selected European day-ahead electricity markets. Using a fractionally integrated panel data model with unobserved common effects, we quantify the responsiveness of hourly electricity prices to two fundamental leading indicators of day-ahead markets: the predicted load and renewable generation. The application of fractional cointegration analysis techniques gives further insight into the pricing mechanism of power delivery contracts, enabling us to measure the persistence of fundamental shocks.

show abstract

Section: Purpose Of the Studymentioning

confidence: 99%

Section: Purpose Of the Studymentioning

confidence: 99%

Fundamental Responsiveness in European Electricity Prices

2021

View full text Add to dashboard Cite

show abstract

“…For instance, Gil-Alana and Robinson (1997) analyze whether the macroeconomic variables involved in the original database of Nelson and Plosser (1982), GDP and unemployment among them, have long memory. Moreover, they have been used to model asset returns, exchange rates, and electricity prices; a few recent examples can be found in Varneskov and Perron (2018), Osterrieder et al (2019), and Ergemen et al (2016).…”

Section: Memorymentioning

confidence: 99%

Long-Lasting Economic Effects of Pandemics:Evidence on Growth and Unemployment

Rodríguez-Caballero

Vera-Valdés

2020

Econometrics

View full text Add to dashboard Cite

This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods that cover pandemics have a change in trend and persistence in growth, and in level and persistence in unemployment. We find that there is an upward trend in the persistence level of growth across centuries. In particular, shocks originated by pandemics in recent times seem to have a permanent effect on growth. Moreover, our results show that the unemployment rate increases and becomes more persistent after a pandemic. In this regard, our findings support the design and implementation of timely counter-cyclical policies to soften the shock of the pandemic.

show abstract

“…For instance, (Gil-Alana and Robinson 1997) analyze whether the macroeconomic variables involved in the original database of (Nelson and Plosser 1982), GDP and unemployment among them, have long memory. Moreover, they have been used to model asset returns, exchange rates, and electricity prices; a few recent examples can be found in (Varneskov and Perron 2018), (Osterrieder et al 2019), and (Ergemen et al 2016).…”

Section: The Fractional Difference Operatormentioning

confidence: 99%

Long-Lasting Economic Effects of Pandemics: Evidence on Growth and Unemployment

Rodríguez-Caballero

Vera-Valdés²

2020

Preprint

View full text Add to dashboard Cite

This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods of time that cover pandemics have a change in trend and persistence in growth, and in level and persistence in unemployment. We find that there is an upward trend in the persistence level of growth across the centuries. In particular, shocks originated by pandemics in recent times seem to have permanent effect in growth. Moreover, our results show that the unemployment rate increases and it becomes more persistent after a pandemic. In this regard, our findings support the design and implementation of counter-cyclical policies to soften the shock of the pandemic.

show abstract

Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads

Cited by 21 publications

References 32 publications

Fundamental Responsiveness in European Electricity Prices

Fundamental Responsiveness in European Electricity Prices

Long-Lasting Economic Effects of Pandemics:Evidence on Growth and Unemployment

Long-Lasting Economic Effects of Pandemics: Evidence on Growth and Unemployment

Contact Info

Product

Resources

About