Detalle Publicación

Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach

Autores: Antunes, J.; Gil Alaña, Luis Alberiko; Riccardi, R.; Tan, Y. (Autor de correspondencia); Wanke, P.
ISSN: 0254-5330
Volumen: 313
Número: 1
Páginas: 191 - 229
Fecha de publicación: 2022
In this paper, we analyze the temporal dependence in energy prices and demand using daily data of Portugal and Spain over the period 2007-2017. The methodology used is based on a stochastic Hidden Markov Model and the results indicate first that all significant relationships between energy prices and demands were found to be positive; second, spot prices are only time dependent on future prices and spot energy, while future energy is solely time dependent on spot energy behavior; third, future prices are not only autocorrelated but also time-dependent with spot energy and future energy demands level; and finally, spot energy is autocorrelated and time-dependent with future prices and future energy. Policy implications of the results obtained are presented at the end of the article.