Imperial College London
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ProfessorRichardGreen

Business School

Head of the Department of Economics and Public Policy
 
 
 
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Contact

 

+44 (0)20 7594 2611r.green Website CV

 
 
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Location

 

415City and Guilds BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Castagneto-Gissey:2014:10.21314/JEM.2014.116,
author = {Castagneto-Gissey, G and Green, R},
doi = {10.21314/JEM.2014.116},
journal = {Journal of Energy Markets},
pages = {3--34},
title = {Exchange rates, oil prices and electricity spot prices: Empirical insights from European Union markets},
url = {http://dx.doi.org/10.21314/JEM.2014.116},
volume = {7},
year = {2014}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - This study investigates the relationship between daily electricity spot price returns and both the crude oil spot price return (in US dollars) and the exchange rate return in six European countries (France, Germany, Italy, the Netherlands, Spain and the United Kingdom) during the time periods 2005-7 and 2008-11, ie, before and after the contagion of the subprime crisis on European markets. The conditional mean and conditional variance are modeled by AR.1/-GARCH.1; 1/ and AR.1/-NGARCH.1; 1/. The performance superiority of the nonlinear asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) model suggests that the leverage effect is well represented. In many cases, the level of returns in either the oil price or the exchange rate had little impact on the level of electricity price returns, but the volatility of these prices affected the volatility of electricity prices in all the European countries examined, except for the United Kingdom. However, in the succeeding time period (2008-11), the volatility of electricity prices in each of the countries studied, including the United Kingdom, was significantly and asymmetrically affected by both exchange rate and oil price returns. This volatility, or risk, has implications for the way in which low-carbon generators should be supported.
AU  - Castagneto-Gissey,G
AU  - Green,R
DO  - 10.21314/JEM.2014.116
EP  - 34
PY  - 2014///
SN  - 1756-3607
SP  - 3
TI  - Exchange rates, oil prices and electricity spot prices: Empirical insights from European Union markets
T2  - Journal of Energy Markets
UR  - http://dx.doi.org/10.21314/JEM.2014.116
VL  - 7
ER  -
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