Beschreibung:
The impact of prices of natural gas, coal, and carbon emissions on the empirical distribution of electricity prices in Germany is investigated using a flexible distribution with time-varying mean, variance, skewness, and kurtosis parameters, augmented with seasonal components for the day of the week and the Russian-Ukrainian war. Electricity prices are found to be cyclical. Prices drop, on average, by about 18.5% on Fridays, increase on Mondays and Tuesdays by 24%, and then drop on Wednesdays and Thursdays by 4.5%. Strong periodicity in price growth rates implies mean reversion and high predictability of electricity prices. Price volatility is stable on each day of the week. It doubles during the war period. The distribution of electricity price growth rates is negatively skewed and highly leptokurtic. Negative skewness doubles on Fridays. Leptokurtosis is more intense on Fridays and the war period. Mean and volatility shocks from the gas, coal, and carbon emissions markets, skewness shocks from the carbon emissions market, and kurtosis shocks from the coal market spill over to the electricity market