Abstract
This paper deals with the behavior of energy price changes and how their shocks exert an impact on suppliers and consumers in different markets. For this purpose, a fractional integration model is used to evaluate the persistence and mean reversion in prices across the major European markets (Germany, France, Italy, UK, Spain). We compare the results with other major players as the US and Japan, to understand, first, if the European behavior is different, and second, if geopolitical shocks that are affecting this market are expected to be permanent. Empirical results show evidence of mean reversion properties in European prices, though some minor differences arise from market to market that apparently, are not associated with the energy generation strategies followed by each country. Thus, it will likely be expected following the current energy shocks the series will recover due to natural market forces, without the need for additional policies.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.