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The relationship between energy consumption and prices. Evidence from futures and spot markets in Spain and Portugal

Tipo
Artigos

Ano
09/09/2020

Linha de Pesquisa
Administração e Economia de Negócios

Autor(es)
Luis A. Gil-Alana, Miguel Martin-Valmayor, Peter Wanke

Orientador

https://doi.org/10.1016/j.esr.2020.100522


Energy Strategy Reviews, v. 31. Abstract: Slow economic recovery, market concentration, and scant alternative energy sources make the Iberian energy market quite idiosyncratic when compared to the rest of the EU. This paper focusses on the Iberian energy market by dealing with the analysis of the relationship between energy consumption and energy prices by using fractional integration in the Iberian market. This technique is used in order to examine the degree of persistence of the series, looking at the spot and futures markets in Spain and Portugal. The results indicate that all the series are fractionally integrated, showing long memory and mean reverting behaviour. Moreover, a close relation between energy consumption and energy prices is found in the spot market whereas it is not found in the futures market. In fact, there is a weak relationship between the futures market and energy consumption. However, regarding energy pricing, the relationship is stronger but with the spot market itself.

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