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Deregulated Wholesale Electricity Prices in Europe

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Author Info

  • Bruno Bosco
  • Lucia Parisio
  • Matteo Pelagatti
  • Fabio Baldi

Abstract

This 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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File URL: http://www.statistica.unimib.it/utenti/WorkingPapers/WorkingPapers/20061001.pdf
File Function: First version, October 2006
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Bibliographic Info

Paper provided by Università degli Studi di Milano-Bicocca, Dipartimento di Statistica in its series Working Papers with number 20061001.

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Length: 25 pages
Date of creation: Oct 2006
Date of revision:
Handle: RePEc:mis:wpaper:20061001

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Postal: Via Bicocca degli Arcimboldi 8, 20126 Milano
Web page: http://www.statistica.unimib.it
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Related research

Keywords: European electricity prices; Cointegration; Interdependencies; Equilibrium Correction model; Oil prices;

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Cited by:
  1. 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.
  2. repec:mop:credwp:08.09.77 is not listed on IDEAS
  3. 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.
  4. Sévi, Benoît & Le Pen, Yannick, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Economics Papers from University Paris Dauphine 123456789/5450, Paris Dauphine University.

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