Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case

Muñoz, M. Pilar; Dickey, David A.

doi:10.1016/j.eneco.2009.05.011

Cited by 50 publications

(28 citation statements)

References 28 publications

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“…By contrast, Furió and Chuliá (2012), using data from 2005 to 2011 found full integration of fuel (oil and natural gas) and electricity prices in the month-ahead market. Their findings support Munoz and Dickey's (2009) claim that natural gas, coal and oil, in this order, were the main components of Spanish electricity prices. Bencivenga et al (2010) linked the research conducted in the US and the EU by comparing the associations between crude oil, natural gas and electricity prices in both markets.…”

Section: Literature Reviewsupporting

confidence: 76%

Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices

2016

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Long-run dynamics of electricity prices are expected to reflect fuel price developments, since fuels generally account for a large share in the cost of generation. As an integrated European market for electricity develops, wholesale electricity prices should be converging as a result of market coupling and increased interconnectivity. Electricity mixes are also changing, spurred by a drive to significantly increase the share of renewables. Consequently, the electricity wholesale price dynamics are evolving, and the fuel-electricity price nexus that has been described in the literature is likely to reflect this evolution. This study investigates associations between spot prices from the British, French and Nordpool markets with those in connected electricity markets and fuel input prices, from December 2005 to October 2013. In order to assess the timevarying dynamics of electricity spot price series, localized autocorrelation functions are used. Electricity spot prices in the three markets are found to have stationary and non-stationary periods. When a trend in spot prices is observed, it is likely to reflect the trend in fuel prices. Cointegration analysis is then used to assess co-movement between electricity spot prices and fuel inputs to generation. The results show that British electricity spot prices are associated with fuel prices and not with price developments in connected markets, while the opposite is observed in the French and Nordpool day-ahead markets.

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Section: Literature Reviewsupporting

confidence: 76%

Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices

2016

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“…Basher, Haug, & Sadorsky (2012) states that there is a positive influence on world oil prices on stock returns in the short term. Munoz & Dickey (2009) their research results that the effect of world oil prices on stock returns in the short term. Based on the above description, the hypothesis to be studied is as follows: H 3 : crude oil price's change has a positive effect on mining stock return…”

Section: |mentioning

confidence: 97%

The effect of commodity price changes and USD/IDR exchange rate on Indonesian mining companies’ stock return

Putra

Robiyanto

2019

Jurnal Keuangan Dan Perbankan

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There are many variables which will be influencing stock return. Some of those variables are come from the commodity market, such as gold, price and crude oil price changes, and also come from the exchange rate market. This study is about to test the effect of changes prices of gold, silver, crude oil, and exchange rate to the stock return of mining sector companies in Indonesia. There are 48 companies engaged in the mining sector listed on the Indonesia Stock Exchange (IDX). From 48 companies this study uses the purposive sampling method to choose a sample within the criteria, and 13 selected companies will be the object of this study. This study also used an analysis tool GARCH (1,1) to avoid abnormal data. Before advancing to GARCH (1,1) analysis, the data must be tested the stationary first by using Augmented Dickey-Fuller Test (ADF) to make sure the data stationary or not by using level, 1st difference, and two difference. The result shows that gold has a significant positive effect on stock return mining sector companies such as INCO, KKGI, PTBA, and TINS. Silver has a significant positive effect on HRUM companies and negatively on RUIS. Crude oil has a significant positive effect on HRUM and PTBA firms. Exchange rates have a significant negative impact on companies. ANTM, CTTH, DOID, ELSA, HRUM, ITMG, and KKGI. Abstrak Ada banyak variabel yang akan memengaruhi return saham. Beberapa variabel tersebut berasal dari pasar komoditas, seperti emas, perubahan harga dan harga minyak mentah, dan juga berasal dari pasar nilai tukar. Penelitian ini akan menguji pengaruh perubahan harga emas, perak, minyak mentah, dan nilai tukar terhadap return saham perusahaan sektor pertambangan di Indonesia. Ada 48 perusahaan yang bergerak di sektor pertambangan yang terdaftar di Bursa Efek Indonesia (BEI). Dari 48 perusahaan penelitian ini menggunakan metode purposive sampling untuk memilih sampel dalam kriteria, dan ada 13 perusahaan yang dipilih yang akan menjadi objek penelitian ini. Penelitian ini juga menggunakan alat analisis GARCH (1.1) untuk menghindari data abnormal. Sebelum maju ke analisis GARCH (1.1), data harus diuji stasioner terlebih dahulu dengan menggunakan Augmented Dickey-Fuller Test (ADF) untuk memastikan data stasioner atau tidak dengan menggunakan level, perbedaan 1, dan dua perbedaan. Hasil penelitian menunjukkan bahwa emas memiliki pengaruh positif signifikan terhadap return saham perusahaan sektor pertambangan seperti INCO, KKGI, PTBA, dan TINS. Perak memiliki efek positif signifikan pada perusahaan HRUM dan negatif pada RUIS. Minyak mentah memiliki efek positif yang signifikan pada perusahaan HRUM dan PTBA. Nilai tukar memiliki dampak negatif yang signifikan terhadap perusahaan. ANTM,

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“…Several works analyze the impact of external variables on the electricity price through VAR models or their variants, e. g. structural VAR models or the vector error correction model (VECM). For example, Bello and Reneses (2013), Freitas and da Silva (2015) and Muñoz and Dickey (2009) use cointegration techniques to study the Spanish market; Mohammadi (2009) and Mjelde and Bessler (2009) consider the U. S. market; and Thoenes (2011), as well as Paschen (2016), analyzes the day-ahead EEX price.…”

Section: Model Choicementioning

confidence: 99%

Short-term dynamics of day-ahead and intraday electricity prices

Wolff

Feuerriegel

2017

IJESM

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Since the liberalization of electricity markets in the European Union, prices are subject to market dynamics. Hence, understanding the short-term drivers of electricity prices is of major interest to electricity companies and policy-makers. Accordingly, this paper studies movements of prices in the combined German and Austrian electricity market. Approach We estimate an autoregressive model with exogenous variables (ARX) in a twostep procedure. We first de-seasonalize both time series, which inherently feature seasonality, and, in a second step, measure the influence of all model variables on the two dependent variables, i. e. the day-ahead and intraday EPEX prices. Findings Our results reveal that the short-term market is largely driven by seasonality, consumer demand and short-term feed-ins from renewable energy sources. As a contribution to the existing body of literature, this paper specifically compares the price movements in day-ahead and intraday markets. In intraday markets, the influences of renewable energies are much stronger than in day-ahead markets, i. e. by 24.12 % for wind and 116.82 % for solar infeeds.

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Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case

Cited by 50 publications

References 28 publications

Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices

Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices

The effect of commodity price changes and USD/IDR exchange rate on Indonesian mining companies’ stock return

Short-term dynamics of day-ahead and intraday electricity prices

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