What do international energy prices have in common after taking into account the key drivers?

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dc.contributor.author Camacho, Maximo
dc.contributor.author Caro Navarro, Ángela
dc.contributor.author Peña, Daniel
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2020-12-18T16:26:05Z
dc.date.available 2020-12-18T16:26:05Z
dc.date.issued 2020-12-18
dc.identifier.issn 2387-0303
dc.identifier.uri http://hdl.handle.net/10016/31647
dc.description.abstract Differences across international energy prices are driven by many factors, but what do energy prices have in common? We analyze global and group-specific co-movements in the energy market by means of a Dynamic Factor Model with Cluster Structure. A new extension of the model is included which allows to evaluate the effect of macroeconomic variables which are country-specific over energy prices. A Monte Carlo experiment is carried out in order to test the estimation performance of the proposed extension. In a Big Data scenario of 30 countries and 12 industrial sectors we find that the co-movements between energy prices are related to groups of countries and may be classified within four groups. The connections within groups may be explained by high prices of a specific fuel type.
dc.language.iso eng
dc.relation.ispartofseries Working paper. Statistics and Econometrics
dc.relation.ispartofseries 20-10
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Energy Prices
dc.subject.other Dynamic Factor Model
dc.subject.other Clustering
dc.subject.other Penalized Regression
dc.title What do international energy prices have in common after taking into account the key drivers?
dc.type workingPaper
dc.relation.projectID Gobierno de España. PID2019-109196GB-I00
dc.relation.projectID Gobierno de España. FPU15/03983
dc.identifier.uxxi DT/0000001860
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