Cointegration between power and fuel prices stronger than ever

KYOS calculated that in the German market the speed of cointegration between power and fuel prices increased. This is contrary to the common belief that power prices become less dependent on fuel prices due to the renewables penetration.

Journal of Energy Markets: Cointegration between gas and power spot prices

In this paper we show how cointegration can be applied to capture the joint dynamic of multiple energy spot prices. Our analysis shows that gas prices are strongly cointegrated, whereas cointegration of gas and power prices is at long-term forward price levels only.