Unité mixte de recherche 7235

On the link between forward energy prices: A nonlinear panel cointegration approach

Valérie Mignon, Marc Joëts

[en]This paper investigates the relationship between forward prices of oil, gas, coal, and electricity using a nonlinear panel cointegration framework. To this end, we consider a panel of 35 maturities and control for the economic and financial environment using equity futures prices. Estimating the cointegrating relationship, we find that oil, gas and coal forward prices are positively linked, while the negative link between oil and electricity prices is consistent with a substitution effect between the two energy sources on the long run. Estimating panel smooth transition regression (PSTR) models, we show that the forward oil price adjustment process toward its equilibrium value is nonlinear and asymmetric, putting forward the key role played by self-sustaining dynamics and speculation phenomena. [/en]

AGENDA

jeudi 1 juin 2023

Lunch

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vendredi 2 juin 2023

Rencontres économiques

9h30 à 11h30

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jeudi 8 juin 2023

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Guillaume Pierné

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jeudi 22 juin 2023

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Jules Chaperon

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vendredi 1 septembre 2023

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