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The effect of a new power cable on energy prices volatility spillovers

Sapio, Alessandro; Spagnolo, Nicola

Description

In this paper, we estimate volatility spillovers before and after the introduction of a new cable linking different electricity market zones. Using wholesale electricity prices for Sardinia and two neighbouring Italian market zones for the period 2005-2015, we focus on the effects of the SAPEI cable, fully operational since March 2011. VAR-GARCH estimates indicate that the SAPEI cable allowed for stronger volatility transmission towards Sardinia, a smaller zone and a net importer from its new...[Show more]

CollectionsANU Research Publications
Date published: 2020
Type: Journal article
URI: http://hdl.handle.net/1885/264139
Source: Energy Policy
DOI: 10.1016/j.enpol.2020.111488

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