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The Reliability of Spanish and German Electricity Forward Prices. Databases and price discovery

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The Reliability of Spanish and German Electricity Forward Prices. Databases and price discovery

dc.contributor.author	Coronado, Ángela
dc.contributor.author	Climent, Francisco
dc.contributor.author	Furió, Dolores
dc.date.accessioned	2023-11-08T13:49:50Z
dc.date.available	2023-11-08T13:49:50Z
dc.date.issued	2021
dc.identifier.uri	https://hdl.handle.net/10550/91015
dc.description.abstract	Given the existence of different databases from different sources that offer information on forward electricity prices, the need to compare them arises so as to guarantee that research results and trading decisions based on them are not sensitive to the database used. We work with forward electricity prices traded over the counter, closest month to maturity, covering the period from 2010 to 2016 for the Spanish OTC market and from 2008 to 2016 for the German OTC market. The goal of this paper is to test whether there are significant discrepancies between the price series provided by two of the main agencies of financial information (Thomson Reuters and Bloomberg) as well as to analyze the existence of causality relationships between them, both in the long- and in the short-term. As a first step, we obtain the data availability and the distributional characteristics of each of the price series offered by the mentioned financial information providers for the Spanish and the German electricity OTC market. Then we study the lead-lag relationship between two price series, previously chosen as representative of those provided by Thomson Reuters and Bloomberg, to ascertain if there are any leading databases that may systematically anticipate information to the others.
dc.language.iso	eng
dc.relation.ispartof	Mathematics, 2021, vol. 9, num. 6, p. 623
dc.source	Coronado, Ángela Climent, Francisco Furió, Dolores 2021 The Reliability of Spanish and German Electricity Forward Prices. Databases and price discovery Mathematics 9 6 623
dc.subject	Energia Consum
dc.subject	Energia
dc.subject	Economia
dc.title	The Reliability of Spanish and German Electricity Forward Prices. Databases and price discovery
dc.type	journal article
dc.date.updated	2023-11-08T13:49:50Z
dc.identifier.doi	10.3390/math9060623
dc.identifier.idgrec	143751
dc.rights.accessRights	open access