Energy consumption Energy prices Long memory Fractional integration Persistence
This is an open access article under the CC BY license
Martin-Valmayor, M. (Miguel); Gil-Alana, L.A. (Luis A.); Infante, J. (Juan). "Energy prices in Europe. Evidence of persistence across markets". Resources Policy. 82, 2023, 103546
This paper deals with the behavior of energy price changes and how their shocks exert an impact on suppliers and
consumers in different markets. For this purpose, a fractional integration model is used to evaluate the persistence and mean reversion in prices across the major European markets (Germany, France, Italy, UK, Spain). We
compare the results with other major players as the US and Japan, to understand, first, if the European behavior
is different, and second, if geopolitical shocks that are affecting this market are expected to be permanent.
Empirical results show evidence of mean reversion properties in European prices, though some minor differences
arise from market to market that apparently, are not associated with the energy generation strategies followed by
each country. Thus, it will likely be expected following the current energy shocks the series will recover due to
natural market forces, without the need for additional policies.