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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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; Diffusion Processes
- 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)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Tashpulatov, Sherzod N., 2013.
"Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market,"
Elsevier, vol. 60(C), pages 81-90.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Matteo Pelagatti).
If references are entirely missing, you can add them using this form.