Search

Begin New Search
Proceed to Checkout

Search Results for All:
(Showing results 1 to 2 of 2)



The Impacts of Variable Renewable Production and Market Coupling on the Convergence of French and German Electricity Prices

Jan Horst Keppler, Sebastien Phan, and Yannick Le Pen

Year: 2016
Volume: Volume 37
Number: Number 3
DOI: 10.5547/01956574.37.3.jkep
View Abstract

Abstract:
This paper estimates the impact of two separate factors on the spread between French and German electricity prices, the amount of production by variable renewables and "market coupling". As renewable electricity production is concentrated during a limited number of hours with favourable meteorological conditions and interconnection capacity between France and Germany is limited, increases in production of wind and solar PV in Germany lead to increasing price spreads between the two countries. Our estimates based on a sample of 24 hourly French and German day-ahead prices from November 2009 to June 2013 confirm that renewable electricity production in Germany has a strongly positive impact on price divergence. On the other hand, market coupling, the establishment of a combined order book on the basis of information of both markets, which was introduced in November 2010, can be shown to have mitigated the observed price divergence. Both results have policy relevant implications for welfare and the optimal provision of interconnection capacity.



Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices

Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoit Sevi

Year: 2017
Volume: Volume 38
Number: Number 2
DOI: 10.5547/01956574.38.2.dbun
View Abstract

Abstract:
As speculative flows into commodity futures are expected to link commodity prices more strongly to equity indices, we investigate whether this process also creates increased correlations amongst the commodities themselves. Considering U.S. oil and gas futures, we investigate whether common factors, derived from a large international data set of real and nominal macroeconomic variables by means of the large approximate factor models methodology, are able to explain both returns and whether, beyond these fundamental common factors, the residuals remain correlated. We further investigate a possible explanation for this residual correlation by using some proxies for trading intensity derived from CFTC publicly available data, showing most notably that the proxy for speculation in the oil market increases the oil-gas correlation. We thus identify the central role of financial activities in shaping the link between oil and gas returns.





Begin New Search
Proceed to Checkout

 

© 2020 International Association for Energy Economics | Privacy Policy | Return Policy