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Analysis of mean and volatility price transmissions in the MIBEL and EPEX electricity spot markets

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  • A Ciarreta and A Zarraga

Abstract

We use multivariate Generalized Autoregressive Conditional Heteroscedastic models to assess evidence of electricity market integration between Spain, Portugal, Austria, Germany, Switzerland and France from 7-1-2007 to 2-29-2012. Spillovers and price convergence are used as indicators of integration. Evidence of dynamic conditional correlation is found for the pairs Spain-Portugal, Germany-Austria and Switzerland-Austria. Weak evidence of integration is found between Spain-France and Germany-France since no cross volatility transmissions are estimated. There are increasing price convergence and significant mean and volatility spillovers in the rest of the country pairs. We conclude that the European Union target of achieving a single electricity market depends largely on increasing interconnections and efficient rules of market operation.

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  • A Ciarreta and A Zarraga, 2015. "Analysis of mean and volatility price transmissions in the MIBEL and EPEX electricity spot markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
    • Handle: RePEc:aen:journl:ej36-4-ciarreta
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    Cited by:

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    3. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
    4. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
    5. Sapio, Alessandro & Spagnolo, Nicola, 2020. "The effect of a new power cable on energy prices volatility spillovers," Energy Policy, Elsevier, vol. 144(C).
    6. Chanatásig-Niza, Evelyn & Ciarreta, Aitor & Zarraga, Ainhoa, 2022. "A volatility spillover analysis with realized semi(co)variances in Australian electricity markets," Energy Economics, Elsevier, vol. 111(C).
    7. Goutte, Stéphane & Vassilopoulos, Philippe, 2019. "The value of flexibility in power markets," Energy Policy, Elsevier, vol. 125(C), pages 347-357.
    8. Yan, Guan & Trück, Stefan, 2020. "A dynamic network analysis of spot electricity prices in the Australian national electricity market," Energy Economics, Elsevier, vol. 92(C).
    9. Sapio, Alessandro, 2019. "Greener, more integrated, and less volatile? A quantile regression analysis of Italian wholesale electricity prices," Energy Policy, Elsevier, vol. 126(C), pages 452-469.
    10. Jorge Antunes & Luis Alberiko Gil-Alana & Rossana Riccardi & Yong Tan & Peter Wanke, 2022. "Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach," Annals of Operations Research, Springer, vol. 313(1), pages 191-229, June.
    11. Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Energy Economics, Elsevier, vol. 66(C), pages 217-227.
    12. Alasseur, C. & Féron, O., 2018. "Structural price model for coupled electricity markets," Energy Economics, Elsevier, vol. 75(C), pages 104-119.
    13. Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).

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