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Fundamental Responsiveness in European Electricity Prices

Author

Listed:
  • Michail I. Seitaridis

    (RiskGroupAUTH, & Applied Economics Lab., School of Economics, Aristotle University of Thessaloniki, 54124 Thessaloniki, Greece)

  • Nikolaos S. Thomaidis

    (RiskGroupAUTH, & Applied Economics Lab., School of Economics, Aristotle University of Thessaloniki, 54124 Thessaloniki, Greece)

  • Pandelis N. Biskas

    (Power Systems Lab., School of Electrical & Computer Engineering, Aristotle University of Thessaloniki, 54124 Thessaloniki, Greece)

Abstract

We estimate fundamental pricing relationships in selected European day-ahead electricity markets. Using a fractionally integrated panel data model with unobserved common effects, we quantify the responsiveness of hourly electricity prices to two fundamental leading indicators of day-ahead markets: the predicted load and renewable generation. The application of fractional cointegration analysis techniques gives further insight into the pricing mechanism of power delivery contracts, enabling us to measure the persistence of fundamental shocks.

Suggested Citation

  • Michail I. Seitaridis & Nikolaos S. Thomaidis & Pandelis N. Biskas, 2021. "Fundamental Responsiveness in European Electricity Prices," Energies, MDPI, vol. 14(22), pages 1-14, November.
    • Handle: RePEc:gam:jeners:v:14:y:2021:i:22:p:7623-:d:679398
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    References listed on IDEAS

    as
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