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https://doi.org/10.1016/j.econmod.2022.106158
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Título: | What drives industrial energy prices? |
Fecha de publicación: | mar-2023 |
Editorial: | Elsevier |
Cita bibliográfica: | Economic Modelling. Volume 120, March 2023, 106158 |
ISSN: | 1873-6122 |
Materias relacionadas: | CDU::3 - Ciencias sociales |
Palabras clave: | Energy prices Dynamic Factor Model Clustering Penalized regression |
Resumen: | 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. |
Autor/es principal/es: | Camacho, Maximo Caro, Angela Peña, Daniel |
Facultad/Departamentos/Servicios: | Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU Métodos Cuantitativos para la Economía y la Empresa |
Versión del editor: | https://www.sciencedirect.com/science/article/pii/S0264999322003959 |
URI: | http://hdl.handle.net/10201/137239 |
DOI: | https://doi.org/10.1016/j.econmod.2022.106158 |
Tipo de documento: | info:eu-repo/semantics/article |
Número páginas / Extensión: | 31 |
Derechos: | info:eu-repo/semantics/openAccess Attribution-NonCommercial-NoDerivatives 4.0 Internacional |
Descripción: | © 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 |
Aparece en las colecciones: | Artículos: Métodos Cuantitativos para la Economía y la Empresa |
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