This research provides an extensive characterization of the contagion between electricity, energy commodities, financial assets and economic indicators across several maturities. Despite the widespread importance of electricity futures, this has been an under-researched topic. The evolution of connectedness is investigated between 2006 and 2023. With a special focus on electricity forward base and peak contracts, results show that the contagion effects are moderate but evolve through time, with greater impacts observed during the crisis years. We confirm that electricity forward prices are more sensitive to operators’ future expectations on fundamental market conditions than to financial and economic shocks.

中文翻译：

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德国短期和长期电力期货的连通性特征


本研究对电力、能源商品、金融资产和经济指标之间跨多个期限的传染进行了广泛的表征。尽管电力期货具有广泛的重要性，但这一直是一个研究不足的话题。研究了 2006 年至 2023 年间连通性的演变。特别关注电力远期基础和峰值合同，结果表明，传染效应是中等的，但会随着时间的推移而演变，在危机年代观察到的影响更大。我们确认，电力远期价格对运营商对基本市场状况的未来预期比对金融和经济冲击更敏感。