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| DOI | 10.1016/j.enpol.2020.111488 |
| The effect of a new power cable on energy prices volatility spillovers | |
| Sapio A.; Spagnolo N. | |
| 发表日期 | 2020 |
| ISSN | 03014215 |
| 卷号 | 144 |
| 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 |
| 关键词 | Electricity pricesMarket integrationTransmissionVAR-GARCHVolatility |
| 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 |
| 语种 | 英语 |
| 来源期刊 | Energy Policy
 |
| 文献类型 | 期刊论文 |
| 条目标识符 | http://gcip.llas.ac.cn/handle/2XKMVOVA/204846 |
| 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 |
| 推荐引用方式 GB/T 7714 | Sapio A.,Spagnolo N.. The effect of a new power cable on energy prices volatility spillovers[J],2020,144. |
| APA | Sapio A.,&Spagnolo N..(2020).The effect of a new power cable on energy prices volatility spillovers.Energy Policy,144. |
| MLA | Sapio A.,et al."The effect of a new power cable on energy prices volatility spillovers".Energy Policy 144(2020). |
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