VOLATILITY SPILLOVERS IN ELECTRICITY MARKETS: EVIDENCE FROM THE UNITED STATES
| Autor: | Themistoclis Pantos, Aggelos Armenatzoglou, Ilias Kampouris, Stathis Polyzos |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
lcsh:GE1-350
Market integration Emerging technologies business.industry media_common.quotation_subject 05 social sciences 0211 other engineering and technologies 02 engineering and technology Monetary economics lcsh:HD9502-9502.5 lcsh:Energy industries. Energy policy. Fuel trade Interdependence Multivariate garch General Energy 0502 economics and business Economics 021108 energy Electricity 050207 economics Volatility (finance) business General Economics Econometrics and Finance lcsh:Environmental sciences media_common |
| Zdroj: | International Journal of Energy Economics and Policy, Vol 9, Iss 4, Pp 131-143 (2019) |
| ISSN: | 2146-4553 |
| Popis: | This paper examines the degree of market integration, as observed by measuring volatility spillovers, in selected wholesale electricity spot markets fromUnited States. We choose markets located at interconnected and non-interconnected areas. We use a Multivariate GARCH framework, which allowsus to model time varying correlations and to conclude whether the markets show evidence of interdependency. We estimate the variance-covarianceand correlation structure, in order to observe the evolution of interactions among markets, accounting for asymmetric effects. We find evidence ofsignificant correlations between interconnected markets, which are mainly due to electricity transmission, since the observed correlations are above0.5, but our results show that the desired level of integration has not been accomplished yet. Nevertheless, full integration is not an objective target,unless new technologies offer a boost towards that direction. Our results suggest that we should move towards a more integrated market, throughlegislation reforms and investment in infrastructure, which could increase competition and could lead to capital savings through lower electricity prices.The unique selection of the markets under examination and the 4-variate BEKK model for electricity markets are special characteristics of this paper.Keywords: Energy Markets, Electricity Markets, Market Integration, BEKK, Asymmetric Dynamic Conditional CorrelationJEL Claasifications: Q43, Q48, O21, C44DOI: https://doi.org/10.32479/ijeep.7563 |
| Databáze: | OpenAIRE |
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