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The impacts of variable renewable production and market coupling on the convergence of French and German electricity prices

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Date
2016
Dewey
Economie industrielle
Sujet
electricity price convergence; renewable energies; intermittency; market coupling; France; Germany
JEL code
L.L1.L11
Journal issue
The Energy Journal
Volume
37
Number
3
Publication date
2016
Article pages
343-359
DOI
http://dx.doi.org/10.5547/01956574.37.3.jkep
URI
https://basepub.dauphine.fr/handle/123456789/16599
Collections
  • LEDa : Publications
Metadata
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Author
Keppler, Jan-Horst
status unknown
Le Pen, Yannick
status unknown
Phan, Sébastien
Type
Article accepté pour publication ou publié
Abstract (EN)
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.

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