Advanced

Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets

Green, Rikard LU ; Larsson, Karl LU ; Lunina, Veronika LU and Nilsson, Birger LU (2016) In Working Paper
Abstract
This study investigates volatility spillovers to electric power from
large exogenous shocks in the prices of gas, coal, and carbon emission
allowances in the German energy market. Our sample ranges from 2008 to 2016
and covers periods of different market conditions. We use a general VAR-BEKK
model and the volatility impulse response function methodology to analyze and
evaluate the spillover effects. Special attention is paid to selecting an
appropriate econometric volatility model. Our results show that the spillover
effects often are of a significant magnitude and display considerable
variation over time and across commodities. Coal and gas generate
non-negligible spillovers during almost the entire... (More)
This study investigates volatility spillovers to electric power from
large exogenous shocks in the prices of gas, coal, and carbon emission
allowances in the German energy market. Our sample ranges from 2008 to 2016
and covers periods of different market conditions. We use a general VAR-BEKK
model and the volatility impulse response function methodology to analyze and
evaluate the spillover effects. Special attention is paid to selecting an
appropriate econometric volatility model. Our results show that the spillover
effects often are of a significant magnitude and display considerable
variation over time and across commodities. Coal and gas generate
non-negligible spillovers during almost the entire sample period. Carbon has
very little impact during the early and late parts of the sample, but
generates significant, and highly variable, spillovers during the period from
2011 to the end of 2014. (Less)
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working Paper
publication status
published
subject
keywords
energy markets, time-varying volatility spillovers, volatility impulse response function, skew-Student asymmetric BEKK
in
Working Paper
issue
2016:2
pages
51 pages
publisher
Department of Economics, Lund Universtiy
language
English
LU publication?
yes
id
0a947b58-3719-4c33-8e0c-4dae775ae371 (old id 8595194)
alternative location
http://www.sciencedirect.com/science/article/pii/S0378426617302509
http://swopec.hhs.se/lunewp/abs/lunewp2016_002.htm
date added to LUP
2016-02-02 13:16:29
date last changed
2017-11-06 14:53:25
@misc{0a947b58-3719-4c33-8e0c-4dae775ae371,
  abstract     = {This study investigates volatility spillovers to electric power from<br/>large exogenous shocks in the prices of gas, coal, and carbon emission<br/>allowances in the German energy market. Our sample ranges from 2008 to 2016<br/>and covers periods of different market conditions. We use a general VAR-BEKK<br/>model and the volatility impulse response function methodology to analyze and<br/>evaluate the spillover effects. Special attention is paid to selecting an<br/>appropriate econometric volatility model. Our results show that the spillover<br/>effects often are of a significant magnitude and display considerable<br/>variation over time and across commodities. Coal and gas generate<br/>non-negligible spillovers during almost the entire sample period. Carbon has<br/>very little impact during the early and late parts of the sample, but<br/>generates significant, and highly variable, spillovers during the period from<br/>2011 to the end of 2014.},
  author       = {Green, Rikard and Larsson, Karl and Lunina, Veronika and Nilsson, Birger},
  keyword      = {energy markets,time-varying volatility spillovers,volatility impulse response function,skew-Student asymmetric BEKK},
  language     = {eng},
  note         = {Working Paper},
  number       = {2016:2},
  pages        = {51},
  publisher    = {Department of Economics, Lund Universtiy},
  series       = {Working Paper },
  title        = {Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets},
  year         = {2016},
}