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Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets

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Author

Summary, in English

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.

Publishing year

2016

Language

English

Publication/Series

Working Paper

Issue

2016:2

Document type

Working paper

Publisher

Department of Economics, Lund University

Topic

  • Economics

Keywords

  • energy markets
  • time-varying volatility spillovers
  • volatility impulse response function
  • skew-Student asymmetric BEKK

Status

Published