The relationship between energy consumption and prices. Evidence from futures and spot markets in Spain and Portugal

被引:12
|
作者
Gil-Alana, Luis A. [1 ,2 ]
Martin-Valmayor, Miguel [2 ,3 ]
Wanke, Peter [4 ]
机构
[1] Univ Navarra, Pamplona, Spain
[2] Univ Francisco de Vitoria, Madrid, Spain
[3] Univ Complutense Madrid, Madrid, Spain
[4] Univ Fed Rio de Janeiro, Rio De Janeiro, Brazil
关键词
Energy consumption; Energy prices; Long memory; Fractional integration; Persistence; ELECTRICITY PRICES; LONG MEMORY; DEMAND; TRANSMISSION; GENERATION; MODELS; TRENDS;
D O I
10.1016/j.esr.2020.100522
中图分类号
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号
0807 ; 0820 ;
摘要
Slow economic recovery, market concentration, and scant alternative energy sources make the Iberian energy market quite idiosyncratic when compared to the rest of the EU. This paper focusses on the Iberian energy market by dealing with the analysis of the relationship between energy consumption and energy prices by using fractional integration in the Iberian market. This technique is used in order to examine the degree of persistence of the series, looking at the spot and futures markets in Spain and Portugal. The results indicate that all the series are fractionally integrated, showing long memory and mean reverting behaviour. Moreover, a close relation between energy consumption and energy prices is found in the spot market whereas it is not found in the futures market. In fact, there is a weak relationship between the futures market and energy consumption. However, regarding energy pricing, the relationship is stronger but with the spot market itself.
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页数:7
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