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

Keppler, Jan-Horst; Le Pen, Yannick; Phan, Sébastien (2016), The impacts of variable renewable production and market coupling on the convergence of French and German electricity prices, The Energy Journal, 37, 3, p. 343-359. 10.5547/01956574.37.3.jkep

Type
Article accepté pour publication ou publié
Date
2016
Journal name
The Energy Journal
Volume
37
Number
3
Pages
343-359
Publication identifier
10.5547/01956574.37.3.jkep
Metadata
Show full item record
Author(s)
Keppler, Jan-Horst

Le Pen, Yannick

Phan, Sébastien
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.
Subjects / Keywords
electricity price convergence; renewable energies; intermittency; market coupling; France; Germany
JEL
L11 - Production, Pricing, and Market Structure; Size Distribution of Firms

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