Analysis of Spanish Wholesale Gas Price Determinants and Non-stationarity Effects for Modelling

Cansado Bravo, Pablo and Rodríguez Monroy, Carlos and Mármol Acitores, Gloria (2016). Analysis of Spanish Wholesale Gas Price Determinants and Non-stationarity Effects for Modelling. In: "International Joint Conference - CIO - ICIEOM - IIE - AIM (IJC 2016)", 13, 14, 15 July 2016, San Sebastian, España. pp. 115-122.

Description

Title: Analysis of Spanish Wholesale Gas Price Determinants and Non-stationarity Effects for Modelling
Author/s:
  • Cansado Bravo, Pablo
  • Rodríguez Monroy, Carlos
  • Mármol Acitores, Gloria
Item Type: Presentation at Congress or Conference (Article)
Event Title: International Joint Conference - CIO - ICIEOM - IIE - AIM (IJC 2016)
Event Dates: 13, 14, 15 July 2016
Event Location: San Sebastian, España
Title of Book: International Joint Conference - CIO - ICIEOM - IIE - AIM (IJC 2016)
Date: 2016
Subjects:
Freetext Keywords: Spanish gas prices, gas market, crude oil, oil products, stationarity.
Faculty: E.T.S.I. Industriales (UPM)
Department: Ingeniería de Organización, Administración de Empresas y Estadística
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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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.

More information

Item ID: 46860
DC Identifier: http://oa.upm.es/46860/
OAI Identifier: oai:oa.upm.es:46860
Official URL: http://www.abepro.org.br/icieom/icieom2016/index.asp
Deposited by: Memoria Investigacion
Deposited on: 23 Jun 2017 17:20
Last Modified: 15 Jul 2017 22:30
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