Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression

The present work aims to quantitatively measure the relationships between price of energy commodities, coal, gas natural, fuel oil, carbon prices and wholesale electricity in Iberian Electricity Market, using 2018 daily data. To examine this relationship, we considered both techniques, Markov-Switching Dynamic Regression Autoregressive Regression, proposed two equations with coal as dependent variables. According parameters estimated model, affect cost moderately at times day that are highly recessive. During periods analysed, relative changes led a loss competitiveness natural gas, increased by moderate evolution prices, therefore fell sharply recent past. time-varying transition probabilities commodities variables is informative. staying same state change throughout our sample prices.