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1、Energymarkets:crucialrelationshipbetweenpricesCristinaBencivenga,GiuliaSargenti,andRitaL.D’EcclesiaAbstract.Thisstudyinvestigatestherelationshipbetweencrudeoil,naturalgasandelectricityprices.Apossibleintegrationmayexistanditcanbemeasuredusingacointegration
2、approach.Therelationshipbetweenenergycommoditiesmayhaveseveralimplicationsforthepricingofderivativeproductsandforriskmanagementpurposes.UsingdailypricedataforBrentcrudeoil,NBPUKnaturalgasandEEXelectricityweanalysetheshort-andlong-runrelationshipbetweenthes
3、emarkets.Anunconditionalcorrelationanalysisisperformedtostudytheshort-termrelationship,whichappearstobeveryunstableanddominatedbynoise.Along-runrelationshipisanalysedusingtheEngle-Grangercointegrationframework.Ourresultsindicatethatgas,oilandelectricitymar
4、ketsareintegrated.Theframeworkusedallowsustoidentifyashort-runrelationship.Keywords:energycommodities,correlation,cointegation,marketintegration1IntroductionEnergycommoditieshavebeenaleadingactorintheeconomicand?nancialsceneinthelastdecade.Thederegulationo
5、felectricityandgasmarketsinwesterncountriescausedaseriouschangeinthedynamicofelectricityandgaspricesandnecessitatedtheadoptionofadequateriskmanagementstrategies.Thecrudeoilmarkethasalsobeenalsoexperiencingseriouschangesoverthelastdecadecausedbyeconomicandp
6、oliticalfactors.Thederegulationofgasandelectricitymarketsshouldcause,amongotherthings,moreef?cientpriceformationofthesecommodities.Howevertheirdependenceonoilpricesisstillcrucial.Ananalysisofhowthesecommoditiesarerelatedtoeachotherrepresentsamilestoneinthe
7、de?nitionofriskmeasurementandmanagementtools.Foryearsnaturalgasandre?nedpetroleumproductshavebeenusedasclosesubstitutesinpowergenerationandindustry.Asaconsequence,movementsofnaturalgaspriceshavegenerallytrackedthoseofcrudeoil.Thisbroughtacademicsandpractit
8、ionerstouseasimpleruleofthumbtorelatenaturalgaspricestocrudeoilpricesaccordingtowhichasimpledeterministicfunctionmaybeabletoexplaintherelationshipsbetweenthem(see,e.g.,[7]).Recentlythenumberoffacilitiesableto
