Deregulated Wholesale Electricity Prices in Europe
AbstractThis paper analyses the interdependencies existing in the European electricity prices. The results of a multivariate dynamic analysis of weekly median prices reveal the presence of strong integration (but not perfect integration) among the markets considered in the sample and the existence of a common trend among electricity prices and oil prices. This implies that there are no long-run arbitrage opportunities. The latter result appears to be relevant also in the context of the discussion of efficient hedging instruments to be used by medium-long term investors.
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Bibliographic InfoPaper provided by Università degli Studi di Milano-Bicocca, Dipartimento di Statistica in its series Working Papers with number 20061001.
Length: 25 pages
Date of creation: Oct 2006
Date of revision:
European electricity prices; Cointegration; Interdependencies; Equilibrium Correction model; Oil prices;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-21 (All new papers)
- NEP-EEC-2006-10-21 (European Economics)
- NEP-ENE-2006-10-21 (Energy Economics)
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- Percebois, Jacques & Chevalier, Jean-Marie, 2008. "Gaz et électricité : un défi pour l'Europe et pour la France," Open Access publications from UniversitÃ© Paris-Dauphine urn:hdl:123456789/124, Université Paris-Dauphine.
- Elbert Dijkgraaf & Maarten C.W. Janssen, 2009.
"Defining European Wholesale Electricity Markets: An “And/Or” Approach,"
Tinbergen Institute Discussion Papers
09-079/3, Tinbergen Institute.
- Elbert Dijkgraaf & Maarten C.W. Janssen, 2009. "Defining European Wholesale Electricity Market: An “And/Or” Approach," Tinbergen Institute Discussion Papers 09-79/3, Tinbergen Institute.
- Sherzod N. Tashpulatov, 2011. "Estimating the Volatility of Electricity Prices: The Case of the England and Wales Wholesale Electricity Market," CERGE-EI Working Papers wp439, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
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