A New Perspective on Energy Contagion in Colombia: Evidence from Wavelet Analysis and Co-Movement Dynamics

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dc.creatorMeneses Cerón, Luis Angel
dc.creatorOrozco Álvarez, Jorge Eduardo
dc.creatorMosquera Muñoz, Juan Camilo
dc.creatorVélez Rivera, Víctor Manuel
dc.date2024-01-30
dc.date.accessioned2025-10-01T23:49:02Z
dc.descriptionPurpose: The aim of this study was to examine the existence of energy contagion from the most important energy indicators—oil, natural gas, and coal—to spot electricity prices in Colombia. Design/Methodology: The methodology employed here was correlational, with a quantitative approach. Daily data from February 2011 to December 2018 were used, excluding the 2008 financial crisis and the Covid-19 pandemic. The data were sourced from Refinitiv and XM. Wavelet analysis and co-movement dynamics were applied. Additionally, cross-correlation was used to analyze financial contagion from energy indicators to spot electricity prices. Findings: This study demonstrated that there are significant long-term correlations between energy indicators and spot electricity prices. It also determined the presence of energy contagion from natural gas and Brent crude oil to spot electricity prices during crisis periods. Regarding coal, there is no clear evidence of contagion. These findings are relevant for understanding how changes in the global energy market can affect electricity prices in the long term in an emerging economy like Colombia. Conclusions: Energy contagion impacts the global economy, especially in energy-dependent emerging markets. This study emphasizes the need to understand and mitigate risks in the energy market, offering key information to companies, investors, and policymakers. Originality: Advanced methods were employed here to analyze the impact of international fuel prices on the Colombian electricity market, identifying contagion periods and highlighting the vulnerability of emerging economies to changes in the global energy market.en-US
dc.descriptionObjetivo: examinar la existencia de contagio financiero energético desde los principales indicadores de desempeño energético: petróleo, gas natural y carbón sobre los precios spot de energía en Colombia. Diseño/metodología: la metodología empleada en este estudio fue de tipo correlacional, con un enfoque cuantitativo. Se emplearon datos diarios de febrero de 2011 a diciembre de 2018, excluyendo la crisis financiera de 2008 y la pandemia por COVID-19. Los datos provienen de Refinitiv y XM. Se aplicó el análisis de ondas (wavelets analysis) y dinámica de comovimientos (co-movimientos dynamics). Además, se utilizó la correlación cruzada para el análisis de contagio financiero entre los indicadores de desempeño energético y los precios spot de energía. Resultados: la investigación demostró que existen correlaciones significativas a largo plazo entre los indicadores de desempeño energético y los precios spot de energía. Además, determinó la presencia de contagio del gas natural y del petróleo brent sobre los precios spot de energía durante periodos de crisis. Con respecto al carbón, no hay evidencia clara de contagio. Estos hallazgos son relevantes para comprender cómo los cambios en el mercado global de la energía pueden afectar los precios de esta a largo plazo en una economía emergente como la colombiana. Conclusiones: el contagio financiero energético impacta la economía global, especialmente en mercados emergentes dependientes de energía. Este estudio resalta la necesidad de comprender y mitigar riesgos en el mercado energético, ofreciendo información clave para empresas, inversores y formuladores de políticas. Originalidad: se emplearon métodos avanzados para analizar el impacto de los precios internacionales de combustibles en el mercado energético colombiano, identificando periodos de contagio y subrayando la vulnerabilidad de economías emergentes frente a cambios en el mercado global de la energía.es-ES
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dc.identifierhttps://revistas.itm.edu.co/index.php/revista-cea/article/view/2578
dc.identifier10.22430/24223182.2578
dc.identifier.urihttps://hdl.handle.net/20.500.12622/7113
dc.languagespa
dc.languageeng
dc.publisherInstituto Tecnológico Metropolitano - ITMes-ES
dc.relationhttps://revistas.itm.edu.co/index.php/revista-cea/article/view/2578/3031
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dc.rightsDerechos de autor 2023 Luis Angel Meneses Cerón, Jorge Eduardo Orozco Álvarez, Juan Camilo Mosquera Muñoz, Víctor Manuel Vélez Riveraes-ES
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/4.0es-ES
dc.sourceRevista CEA; Vol. 10 No. 22 (2024); e2578en-US
dc.sourceRevista CEA; Vol. 10 Núm. 22 (2024); e2578es-ES
dc.source2422-3182
dc.source2390-0725
dc.subjectcontagio financiero energéticoes-ES
dc.subjectcomovimientoses-ES
dc.subjectanálisis de ondases-ES
dc.subjectprecio spot de energíaes-ES
dc.subjectmercado global de energíaes-ES
dc.subjectenergy contagionen-US
dc.subjectco-movementsen-US
dc.subjectwavelet analysisen-US
dc.subjectelectricity spot priceen-US
dc.subjectglobal energy marketen-US
dc.titleA New Perspective on Energy Contagion in Colombia: Evidence from Wavelet Analysis and Co-Movement Dynamicsen-US
dc.titleUna nueva perspectiva del contagio financiero energético en Colombia: evidencia del análisis de ondas y dinámicas de comovimientoses-ES
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion

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