Lundgren, Jens () (Department of Economics) Hellström, Jörgen () (Department of Economics) Rudholm, Niklas () (The Swedish Retail Institute)
Abstract
The paper empirically explores the electricity price dynamics in the Nordic electricity market, Nord Pool. In particular, the focus is on determining what effect the multinational market integration, during the years 1996-2006, has had on the conditional mean electricity price, its volatility, the price jump-intensity and the price jump size. Empirically the study reveals that the conditional mean electricity price increased when Finland joined the Nord Pool exchange, and the price remained at the higher level when Denmark also joined. Turning to the price volatility, this increased when Finland joined, mainly due to an increase in jump size, and decreased when Denmark also joined Nord Pool. However, the price jump-intensity decreased both when Finland and Denmark joined the market. This means that a large electricity market integration in Scandinavia seems to reduce the probability of sudden price jumps. That is, the multinational electricity market integration in Scandinavia seems to have created a market that handles external shocks to supply and demand better than the separate national electricity markets previous did.
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Publisher Info
Paper provided by The Swedish Retail Institute (HUI) in its series HUI Working Papers with number
16.
Length: 24 pages Date of creation: 15 Apr 2008 Date of revision: Handle: RePEc:hhs:huiwps:0016
Contact details of provider: Postal: The Swedish Retail Institute (HUI), Regeringsgatan 60, 103 29 Stockholm, Sweden Phone: +46 (0)8 762 72 80 Fax: +46 (0)8 679 76 06 Email: Web page: http://www.hui.se/ More information through EDIRC
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Research Paper
ERS-2001-48-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
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