Memorias de investigación
Communications at congresses:
Analysis of Spanish Wholesale Gas Price Determinants and Non-stationarity Effects for Modelling
Year:2016
Research Areas
  • Natural sciences and health sciences,
  • Engineering,
  • Electric engineers, electronic and automatic (eil),
  • Economy,
  • Finance
Information
Abstract
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.
International
Si
Congress
International Joint Conference - CIO-ICIEOM-IIE-AIM (IJC 2016)
960
Place
San Sebastian España
Reviewers
Si
ISBN/ISSN
978-972-789-466-6
Start Date
13/07/2016
End Date
15/07/2016
From page
115
To page
122
Proceedings of the International Joint Conference - CIO-ICIEOM-IIE-AIM (IJC 2016)
Participants
Research Group, Departaments and Institutes related
  • Creador: Grupo de Investigación: Ingeniería de la Calidad Alimentaria
  • Departamento: Ingeniería de Organización, Administración de Empresas y Estadística