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Long-run relations in european electricity prices

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Author Info

  • Bruno Bosco

    (Department of Legal and Economic Systems, Universit� degli Studi di Milano-Bicocca, Milan, Italy)

  • Lucia Parisio

    (Department of Legal and Economic Systems, Universit� degli Studi di Milano-Bicocca, Milan, Italy)

  • Matteo Pelagatti

    (Department of Statistics, Universit� degli Studi di Milano-Bicocca, Milan, Italy)

  • Fabio Baldi

Abstract

This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long-run dynamic analysis reveal the presence of four highly integrated central European markets (France, Germany, the Netherlands and Austria). The trend shared by these four electricity markets appears to be common also to gas prices, but not to oil prices. The existence of a common long-term dynamics among electricity prices and between electricity prices and gas prices can be explained by the similarity of the market design across Europe and by the same marginal generation technology. Since standard unit root and cointegration tests are not robust to the peculiar characteristics of electricity prices time series, we also develop a battery of robust inference procedures that should assure the reliability of our results. Copyright © 2009 John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 25 (2010)
Issue (Month): 5 ()
Pages: 805-832

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Handle: RePEc:jae:japmet:v:25:y:2010:i:5:p:805-832

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Citations

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Cited by:
  1. bauwens, Luc & hafner, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," CORE Discussion Papers 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Aatola, Piia & Ollikainen, Markku & Toppinen, Anne, 2013. "Impact of the carbon price on the integrating European electricity market," Energy Policy, Elsevier, vol. 61(C), pages 1236-1251.
  3. Nuno Carvalho Figueiredo & Patrícia Pereira da Silva & Pedro Cerqueira, 2014. "The Renewables Influence on Market Splitting: the Iberian Spot Electricity Market," GEMF Working Papers 2014-14, GEMF - Faculdade de Economia, Universidade de Coimbra.
  4. Lanouar Charfeddine & Rafik Jbir & Jihane Karboul, 2014. "Price convergence and integration in the Germany, France and Italy electricity markets," Working Papers 2014-502, Department of Research, Ipag Business School.
  5. Harrison Fell & Beat Hintermann & Herman Vollebergh, 2013. "Carbon content of electricity futures in Phase II of the EU ETS," Working Papers 2013-06, Colorado School of Mines, Division of Economics and Business.
  6. Furió, Dolores & Chuliá, Helena, 2012. "Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain," Energy Economics, Elsevier, vol. 34(6), pages 2058-2065.
  7. Lilian de Menezes & Melanie A. Houllier, 2013. "Modelling Germany´s Energy Transition and its Potential Effect on European Electricity Spot Markets," EcoMod2013 5395, EcoMod.
  8. Bollino, Carlo Andrea & Ciferri, Davide & Polinori, Paolo, 2013. "Integration and Convergence in European Electricity Markets," MPRA Paper 44704, University Library of Munich, Germany.
  9. Thoenes, Stefan, 2011. "Understanding the Determinants of Electricity Prices and the Impact of the German Nuclear Moratorium in 2011," EWI Working Papers 2011-6, Energiewirtschaftliches Institut an der Universitaet zu Koeln.
  10. Pelagatti, Matteo M. & Sen, Pranab K., 2013. "Rank tests for short memory stationarity," Journal of Econometrics, Elsevier, vol. 172(1), pages 90-105.
  11. Melanie Houllier & Lilian M. De Menezes & Michael Tamvakis, 2014. "Time Varying Long Run Dynamics And Convergence In The Uk Energy Market," EcoMod2014 6970, EcoMod.
  12. Matteo Pelagatti & Pranab Sen, 2009. "A robust version of the KPSS test based on ranks," Working Papers 20090701, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  13. Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2010. "Estimating Marginal Costs and Market Power in the Italian Electricity Auctions," Working Papers 20100201, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  14. Bosco, Bruno & Parisio, Lucia & Pelagatti, Matteo, 2012. "Strategic bidding in vertically integrated power markets with an application to the Italian electricity auctions," Energy Economics, Elsevier, vol. 34(6), pages 2046-2057.

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