The connectedness features of German electricity futures over short and long maturities

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-10-23 DOI:10.1016/j.frl.2024.106315

Angelica Gianfreda , Giacomo Scandolo , Derek Bunn

引用次数: 0

Abstract

This research provides an extensive characterization of the contagion between electricity, energy commodities, financial assets and economic indicators across several maturities. Despite the widespread importance of electricity futures, this has been an under-researched topic. The evolution of connectedness is investigated between 2006 and 2023. With a special focus on electricity forward base and peak contracts, results show that the contagion effects are moderate but evolve through time, with greater impacts observed during the crisis years. We confirm that electricity forward prices are more sensitive to operators’ future expectations on fundamental market conditions than to financial and economic shocks.

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德国短期和长期电力期货的关联性特征

这项研究广泛描述了电力、能源商品、金融资产和经济指标之间在多个期限内的传染性。尽管电力期货具有广泛的重要性，但这一直是一个研究不足的课题。本文研究了 2006 年至 2023 年间关联性的演变。我们特别关注了电力远期基准合约和峰值合约，结果表明，传染效应是温和的，但会随着时间的推移而演变，在危机年份会产生更大的影响。我们证实，与金融和经济冲击相比，电力远期价格对运营商对基本市场条件的未来预期更为敏感。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance