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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 (2017) In Journal of Banking and Finance
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 sample period. Carbon has very little... (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
Contribution to journal
publication status
epub
subject
keywords
Energy markets, Skew-Student asymmetric BEKK, Time-varying volatility spillovers, Volatility impulse response function, C32, C58, G1, Q41
in
Journal of Banking and Finance
publisher
Elsevier
external identifiers
  • scopus:85032299785
ISSN
0378-4266
DOI
10.1016/j.jbankfin.2017.10.004
language
English
LU publication?
yes
id
85c53a9e-13ed-4149-9240-b4ee63778182
date added to LUP
2017-10-26 15:24:58
date last changed
2018-01-07 12:23:42
@article{85c53a9e-13ed-4149-9240-b4ee63778182,
  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 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.},
  author       = {Green, Rikard and Larsson, Karl and Lunina, Veronika and Nilsson, Birger},
  issn         = {0378-4266},
  keyword      = {Energy markets,Skew-Student asymmetric BEKK,Time-varying volatility spillovers,Volatility impulse response function,C32,C58,G1,Q41},
  language     = {eng},
  month        = {10},
  publisher    = {Elsevier},
  series       = {Journal of Banking and Finance},
  title        = {Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets},
  url          = {http://dx.doi.org/10.1016/j.jbankfin.2017.10.004},
  year         = {2017},
}