What drives industrial energy prices?

Camacho, Maximo; Caro, Angela; Peña, Daniel

Publication:
What drives industrial energy prices?

dc.contributor.author	Camacho, Maximo
dc.contributor.author	Caro, Angela
dc.contributor.author	Peña, Daniel
dc.contributor.department	Métodos Cuantitativos para la Economía y la Empresa
dc.date.accessioned	2024-01-12T07:43:45Z
dc.date.available	2024-01-12T07:43:45Z
dc.date.issued	2023-03
dc.description	© 2023. This document is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ This document is the submitted version of a published work that appeared in final form in Economic Modelling	es
dc.description.abstract	Understanding whether the drivers of industrial energy prices are worldwide, group-specific or country-specific is a key issue in economics. This requires flexible econometric models to examine large data sets containing a significant variety of industrial sectors in different countries. To this end, we propose an extension of a dynamic factor model with group structure to account for observable country-specific explanatory variables and develop Monte Carlo simulations to show its good finite sample performance. Using data from 12 industrial sectors in 30 countries during the period from 1995 to 2015, we find three drivers of energy prices: (i) a common factor, the main driving force, captures the worldwide dynamics; (ii) country-specific variables, mainly related to inflation and the use of renewable and waste resources; and (iii) group-specific factors, which are more related to country affiliation than to sector classification.	es
dc.format	application/pdf	es
dc.format.extent	31	es
dc.identifier.citation	Economic Modelling. Volume 120, March 2023, 106158
dc.identifier.doi	https://doi.org/10.1016/j.econmod.2022.106158
dc.identifier.issn	1873-6122
dc.identifier.uri	http://hdl.handle.net/10201/137239
dc.language	eng	es
dc.publisher	Elsevier	es
dc.relation	PID2019-107192GB-I00; /PID2019-109196GBI00.	es
dc.relation.publisherversion	https://www.sciencedirect.com/science/article/pii/S0264999322003959	es
dc.rights	info:eu-repo/semantics/openAccess	es
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 Internacional	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.subject	Energy prices	es
dc.subject	Dynamic Factor Model	es
dc.subject	Clustering	es
dc.subject	Penalized regression	es
dc.subject.other	CDU::3 - Ciencias sociales	es
dc.title	What drives industrial energy prices?	es
dc.type	info:eu-repo/semantics/article	es
dspace.entity.type	Publication	es