Memorias de investigación
Ponencias en congresos:
Analysis of Spanish Wholesale Gas Price Determinants and Non-stationarity Effects for Modelling
Año:2016
Áreas de investigación
  • Ciencias naturales y ciencias de la salud,
  • Ingenierías,
  • Ingeniería eléctrica, electrónica y automática,
  • Economía,
  • Asuntos financieros
Datos
Descripción
This study expands on previous research on Spanish gas prices by investigating on the nature of the existing relationships with its main determinants and with special attention to Brent oil price relationship. The study focus on capturing the best representation of the main drivers behind SGP movements as a sensible step towards a more complex modelling exercise to explain Spanish gas pricing mechanics. In addition the analysis does also seek to better understand long-term persistence properties of SGP to obtain a view of how and to what extent those are transmitted through links with other primary energy commodities. Results from our investigation show that when comparing the different lags of Brent oil prices fitting normalized gas prices, the proxy best representing crude oil price is close to a Brent price lagging six months with validity for the next three months. Results for generic unit root tests indicate that all the series analysed are stationary in first differences logarithm what would open scope for using cointegration methods to study SGP long-run dynamics in the future.
Internacional
Si
Nombre congreso
International Joint Conference - CIO-ICIEOM-IIE-AIM (IJC 2016)
Tipo de participación
960
Lugar del congreso
San Sebastian España
Revisores
Si
ISBN o ISSN
978-972-789-466-6
DOI
Fecha inicio congreso
13/07/2016
Fecha fin congreso
15/07/2016
Desde la página
115
Hasta la página
122
Título de las actas
Proceedings of the International Joint Conference - CIO-ICIEOM-IIE-AIM (IJC 2016)
Esta actividad pertenece a memorias de investigación
Participantes
Grupos de investigación, Departamentos, Centros e Institutos de I+D+i relacionados
  • Creador: Grupo de Investigación: Ingeniería de la Calidad Alimentaria
  • Departamento: Ingeniería de Organización, Administración de Empresas y Estadística