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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 Format: application/pdf
File Function: First version, October 2006
Download Restriction: no

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

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 25 pages
Date of creation: Oct 2006
Date of revision:
Handle: RePEc:mis:wpaper:20061001

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Web page: http://www.statistica.unimib.it
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Related research
Keywords: 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
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

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This page was last updated on 2009-12-13.

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