Integration and Convergence in European Electricity Markets
AbstractIn this paper we investigate wholesale electricity prices integration process in the main European markets. After reforms introduced in the last decades in Europe, wholesale electricity prices are now determined in regulated markets. However, while market institutional frameworks show several similarities, there are still differences in fuel mix, generation units technologies, market structure. Using multivariate cointegration techniques we test integration dynamics within four European markets (Austria, Germany, France and Italy) for which we have collected a novel dataset of spot prices from 2004 to 2010. We provide evidence that German market constitutes a common stochastic trend driving the long-run behavior of other markets. Our results are robust to causality test, to Granger causality test, to oil price relevance test and provide additional evidence to assess the efficient market hypothesis in European electricity markets.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 44704.
Date of creation: 07 Jan 2013
Date of revision:
European electricity markets; electricity spot prices; cointegration; structural MA representation.;
Other versions of this item:
- Carlo Andrea Bollino & Davide Ciferri & Paolo Polinori, 2013. "Integration and convergence in European electricity markets," Quaderni del Dipartimento di Economia, Finanza e Statistica 114/2013, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- L16 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-16 (All new papers)
- NEP-COM-2013-03-16 (Industrial Competition)
- NEP-ENE-2013-03-16 (Energy Economics)
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