globalchange  > 气候变化与战略
DOI: 10.1016/j.enpol.2020.111488
论文题名:
The effect of a new power cable on energy prices volatility spillovers
作者: Sapio A.; Spagnolo N.
刊名: Energy Policy
ISSN: 03014215
出版年: 2020
卷: 144
语种: 英语
中文关键词: Electricity prices ; Market integration ; Transmission ; VAR-GARCH ; Volatility
英文关键词: Commerce ; Costs ; Transmissions ; Conditional correlation ; Energy prices ; Fully operational ; Power cables ; Volatility spillovers ; Volatility transmissions ; Wholesale electricity ; Zonal prices ; Cables ; cable ; electricity supply ; energy market ; power line ; price dynamics ; spillover effect ; vector autoregression ; Italy ; Sardinia
英文摘要: In this paper, we estimate volatility spillovers before and after the introduction of a new cable linking different electricity market zones. Using wholesale electricity prices for Sardinia and two neighbouring Italian market zones for the period 2005–2015, we focus on the effects of the SAPEI cable, fully operational since March 2011. VAR-GARCH estimates indicate that the SAPEI cable allowed for stronger volatility transmission towards Sardinia, a smaller zone and a net importer from its new neighbour, the Central Southern zone, albeit the effect was significant only off-peak. Higher conditional correlations between zonal prices are also observed after the cable was introduced. Some implications are drawn about the interaction between market size, export positions, congestion, and volatility transmission. © 2020 Elsevier Ltd
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资源类型: 期刊论文
标识符: http://119.78.100.158/handle/2HF3EXSE/167461
Appears in Collections:气候变化与战略

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作者单位: Department of Business and Economic Studies, Parthenope University of Naples, Italy; Department of Economics, Universita’ della Campania, Italy; Centre for Applied Macroeconomic Analysis (CAMA), Canberra, Australia; Department of Economics and Finance, Brunel University London, United Kingdom

Recommended Citation:
Sapio A.,Spagnolo N.. The effect of a new power cable on energy prices volatility spillovers[J]. Energy Policy,2020-01-01,144
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