Energy price transmissions during extreme movements
Energy price transmissions during extreme movements / Marc Joëts. Paris : EconomiX, 2012, 25 p. (working paper ; 2012-38)
http://economix.fr/pdf/dt/2012/WP_EcoX_2012-38.pdf
This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme fluctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution developped by Candelon, Joëts, and Tokpavi (2012). Considering forward energy prices at 1, 10, 20, and 30 months, it turns out that no significant causality exists between markets at regular times whereas comovements are at play during extreme periods especially in bear markets. More precisely, energy prices comovements appear to be stronger at short horizons than at long horizons, testifying an eventual Samuelson mechanism in the maturity prices curve. Diversification strategies tend to be more efficient as maturity increases. (© Joëts)
OpenEdition vous propose de citer ce billet de la manière suivante :
Danièle Revel (11 octobre 2012). Energy price transmissions during extreme movements. Veille énergie climat. Consulté le 8 septembre 2024 à l’adresse https://doi.org/10.58079/o9w0
