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dc.contributor.authorKeppler, Jan-Horst*
dc.contributor.authorLe Pen, Yannick*
dc.contributor.authorPhan, Sébastien*
dc.date.accessioned2017-07-11T08:58:24Z
dc.date.available2017-07-11T08:58:24Z
dc.date.issued2016
dc.identifier.issn0195-6574
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16599
dc.language.isoenen
dc.subjectelectricity price convergenceen
dc.subjectrenewable energiesen
dc.subjectintermittencyen
dc.subjectmarket couplingen
dc.subjectFranceen
dc.subjectGermanyen
dc.subject.ddc338en
dc.subject.classificationjelL.L1.L11en
dc.titleThe impacts of variable renewable production and market coupling on the convergence of French and German electricity pricesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenAs 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.en
dc.relation.isversionofjnlnameThe Energy Journal
dc.relation.isversionofjnlvol37en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages343-359en
dc.relation.isversionofdoi10.5547/01956574.37.3.jkepen
dc.subject.ddclabelEconomie industrielleen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-07-07T15:46:51Z
hal.person.labIds215794*
hal.person.labIds215794*
hal.person.labIds*
hal.identifierhal-01609447*


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