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Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US

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Cited by:

  1. Hasan, Mudassar & Arif, Muhammad & Naeem, Muhammad Abubakr & Ngo, Quang-Thanh & Taghizadeh–Hesary, Farhad, 2021. "Time-frequency connectedness between Asian electricity sectors," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 208-224.
  2. Theodore Panagiotidis & Emilie Rutledge, 2005. "Oil And Gas Markets In The Uk: Evidence For From A Cointegrating Approach," Econometrics 0504004, University Library of Munich, Germany.
  3. repec:dau:papers:123456789/6808 is not listed on IDEAS
  4. Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2020. "Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets," Energy Economics, Elsevier, vol. 92(C).
  5. Figueiredo, Nuno Carvalho & Silva, Patrícia Pereira da & Bunn, Derek, 2016. "Weather and market specificities in the regional transmission of renewable energy price effects," Energy, Elsevier, vol. 114(C), pages 188-200.
  6. Evans, Lewis & Guthrie, Graeme & Videbeck, Steen, 2006. "Assessing the Integration of Electricity Markets Using Principal Component Analysis: Network and Market Structure Effects," Working Paper Series 18938, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  7. Klaus Gugler & Adhurim Haxhimusa, 2016. "Cross-Border Technology Differences and Trade Barriers: Evidence from German and French Electricity Markets," Department of Economics Working Papers wuwp237, Vienna University of Economics and Business, Department of Economics.
  8. A Ciarreta and A Zarraga, 2015. "Analysis of mean and volatility price transmissions in the MIBEL and EPEX electricity spot markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  9. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
  10. Worthington, Andrew & Kay-Spratley, Adam & Higgs, Helen, 2005. "Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis," Energy Economics, Elsevier, vol. 27(2), pages 337-350, March.
  11. Sophie Chemarin & Andreas Heinen & Eric Strobl, 2008. "Electricity, carbon and weather in France: where do we stand ?," Working Papers hal-00340171, HAL.
  12. Yan, Guan & Trück, Stefan, 2020. "A dynamic network analysis of spot electricity prices in the Australian national electricity market," Energy Economics, Elsevier, vol. 92(C).
  13. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
  14. Böckers, Veit & Heimeshoff, Ulrich, 2014. "The extent of European power markets," Energy Economics, Elsevier, vol. 46(C), pages 102-111.
  15. Hengyun Ma & Les Oxley & John Gibson, 2008. "Testing for Energy Market Integration in China," Working Papers in Economics 08/12, University of Canterbury, Department of Economics and Finance.
  16. Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2018. "Cross-commodity news transmission and volatility spillovers in the German energy markets," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 231-243.
  17. Nuno Carvalho Figueiredo & Patrícia Pereira da Silva & Pedro Cerqueira, 2014. "The Renewables Influence on Market Splitting: the Iberian Spot Electricity Market," GEMF Working Papers 2014-14, GEMF, Faculty of Economics, University of Coimbra.
  18. Asche, Frank & Misund, Bård & Sikveland, Marius, 2013. "The relationship between spot and contract gas prices in Europe," Energy Economics, Elsevier, vol. 38(C), pages 212-217.
  19. Antonio Rubia, 2001. "Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets," Working Papers. Serie EC 2001-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  20. Monge, Manuel & Gil-Alana, Luis Alberiko, 2021. "Spatial crude oil production divergence and crude oil price behaviour in the United States," Energy, Elsevier, vol. 232(C).
  21. Stratford M. Douglas & Julia N. Popova, 2011. "Econometric Estimation of Spatial Patterns in Electricity Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 81-106.
  22. Park, Haesun & Mjelde, James W. & Bessler, David A., 2006. "Price dynamics among U.S. electricity spot markets," Energy Economics, Elsevier, vol. 28(1), pages 81-101, January.
  23. Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
  24. Sandro Sapio, 2004. "Markets Design, Bidding Rules, and Long Memory in Electricity Prices," Revue d'Économie Industrielle, Programme National Persée, vol. 107(1), pages 151-170.
  25. Higgs, Helen, 2009. "Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets," Energy Economics, Elsevier, vol. 31(5), pages 748-756, September.
  26. Ma, Hengyun & Oxley, Les & Gibson, John, 2009. "Gradual reforms and the emergence of energy market in China: Evidence from tests for convergence of energy prices," Energy Policy, Elsevier, vol. 37(11), pages 4834-4850, November.
  27. Rabindra Nepal and John Foster, 2016. "Testing for Market Integration in the Australian National Electricity Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  28. Micola, Augusto Ruperez & Bunn, Derek W., 2007. "Two markets and a weak link," Energy Economics, Elsevier, vol. 29(1), pages 79-93, January.
  29. Eduardo Martínez Chombo, 2005. "Decomposing electricity prices with jumps," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 20(1), pages 27-52.
  30. Goto, Mika & Karolyi, G. Andrew, 2004. "Understanding Electricity Price Volatility within and across Markets," Working Paper Series 2004-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  31. Asan, Goksel & Tasaltin, Kamil, 2017. "Market efficiency assessment under dual pricing rule for the Turkish wholesale electricity market," Energy Policy, Elsevier, vol. 107(C), pages 109-118.
  32. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
  33. Montoya, L.G. & Guo, B. & Newbery, D. & Dodds, P.E. & Lipman, G. & Castagneto Gissey, G., 2020. "Measuring inefficiency in international electricity trading," Energy Policy, Elsevier, vol. 143(C).
  34. Fontini, Fulvio & Vargiolu, Tiziano & Zormpas, Dimitrios, 2021. "Investing in electricity production under a reliability options scheme," Journal of Economic Dynamics and Control, Elsevier, vol. 126(C).
  35. Helen Higgs & Andrew C. Worthington, 2005. "Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 23-42.
  36. Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers 2011.04577, arXiv.org, revised Apr 2023.
  37. Gugler, Klaus & Haxhimusa, Adhurim & Liebensteiner, Mario, 2016. "Integration and Efficiency of European Electricity Markets: Evidence from Spot Prices," Department of Economics Working Paper Series 226, WU Vienna University of Economics and Business.
  38. repec:era:chaptr:2013-rpr-29-02 is not listed on IDEAS
  39. Ciarreta Antuñano, Aitor & Zárraga Alonso, Ainhoa, 2012. "Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  40. Crespo Cuaresma, Jesús & Hlouskova, Jaroslava & Kossmeier, Stephan & Obersteiner, Michael, 2004. "Forecasting electricity spot-prices using linear univariate time-series models," Applied Energy, Elsevier, vol. 77(1), pages 87-106, January.
  41. Lin Han & Ivor Cribben & Stefan Trueck, 2022. "Extremal Dependence in Australian Electricity Markets," Papers 2202.09970, arXiv.org.
  42. Tabaghdehi, Seyedeh Asieh H. & Hunter, John, 2020. "Long-run price behaviour in the gasoline market - The role of exogeneity," Journal of Business Research, Elsevier, vol. 116(C), pages 620-627.
  43. Brown, Stephen P.A. & Yücel, Mine K., 2008. "Deliverability and regional pricing in U.S. natural gas markets," Energy Economics, Elsevier, vol. 30(5), pages 2441-2453, September.
  44. Smith, Michael Stanley & Shively, Thomas S., 2018. "Econometric modeling of regional electricity spot prices in the Australian market," Energy Economics, Elsevier, vol. 74(C), pages 886-903.
  45. Figueiredo, Nuno Carvalho & Silva, Patrícia Pereira da & Cerqueira, Pedro A., 2016. "It is windy in Denmark: Does market integration suffer?," Energy, Elsevier, vol. 115(P2), pages 1385-1399.
  46. Zachmann, Georg, 2008. "Electricity wholesale market prices in Europe: Convergence?," Energy Economics, Elsevier, vol. 30(4), pages 1659-1671, July.
  47. Bunn, Derek W. & Gianfreda, Angelica, 2010. "Integration and shock transmissions across European electricity forward markets," Energy Economics, Elsevier, vol. 32(2), pages 278-291, March.
  48. R. Andrew Butters & Daniel F. Spulber, 2020. "The Extent Of The Market And Integration Through Factor Markets: Evidence From Wholesale Electricity," Economic Inquiry, Western Economic Association International, vol. 58(3), pages 1076-1108, July.
  49. Marckhoff, Jan & Wimschulte, Jens, 2009. "Locational price spreads and the pricing of contracts for difference: Evidence from the Nordic market," Energy Economics, Elsevier, vol. 31(2), pages 257-268, March.
  50. Andrea Petrella & Sandro Sapio, 2010. "No PUN intended: A time series analysis of the Italian day-ahead electricity prices," RSCAS Working Papers 2010/03, European University Institute.
  51. Hung Do & Rabindra Nepal & Russell Smyth, 2020. "Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis," The Economic Record, The Economic Society of Australia, vol. 96(315), pages 450-469, December.
  52. Gr'egory Benmenzer & Emmanuel Gobet & C'eline J'erusalem, 2007. "Arbitrage free cointegrated models in gas and oil future markets," Papers 0712.3537, arXiv.org.
  53. Matthew Oliver & Charles Mason & David Finnoff, 2014. "Pipeline congestion and basis differentials," Journal of Regulatory Economics, Springer, vol. 46(3), pages 261-291, December.
  54. Themistoclis Pantos & Stathis Polyzos & Aggelos Armenatzoglou & Ilias Kampouris, 2019. "Volatility Spillovers in Electricity Markets: Evidence from the United States," International Journal of Energy Economics and Policy, Econjournals, vol. 9(4), pages 131-143.
  55. Nuno Carvalho Figueiredo & Patrícia Pereira da Silva & Pedro Cerqueira, 2014. "The Renewables Influence on Market Splitting: the Iberian Spot Electricity Market," GEMF Working Papers 2014-14, GEMF, Faculty of Economics, University of Coimbra.
  56. Frank Asche & Petter Osmundsen & Maria Sandsmark, 2005. "Is It All Oil?," CESifo Working Paper Series 1401, CESifo.
  57. Theodore Panagiotidis & Emilie Rutledge, 2004. "Oil and gas market in the UK: evidence from a cointegration approach," Discussion Paper Series 2004_18, Department of Economics, Loughborough University, revised Nov 2004.
  58. Bilgili, Faik, 2010. "Energy tax harmonization in EU: Time series and panel data evidence," MPRA Paper 24013, University Library of Munich, Germany.
  59. Mizrach, Bruce, 2012. "Integration of the global carbon markets," Energy Economics, Elsevier, vol. 34(1), pages 335-349.
  60. Andrew C. Worthington & Helen Higgs, 2003. "A multivariate GARCH analysis of the domestic transmission of energy commodity prices and volatility: A comparison of the peak and off-peak periods in the Australian electricity spot market," School of Economics and Finance Discussion Papers and Working Papers Series 140, School of Economics and Finance, Queensland University of Technology.
  61. Gugler, Klaus & Haxhimusa, Adhurim, 2016. "Cross-Border Technology Differences and Trade Barriers: Evidence from German and French Electricity Markets," Department of Economics Working Paper Series 237, WU Vienna University of Economics and Business.
  62. Akhmedjonov, Alisher & Lau, Chi Keung, 2012. "Do energy prices converge across Russian regions?," Economic Modelling, Elsevier, vol. 29(5), pages 1623-1631.
  63. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
  64. Andrew Kleit & James Reitzes, 2008. "The effectiveness of FERC’s transmission policy: is transmission used efficiently and when is it scarce?," Journal of Regulatory Economics, Springer, vol. 34(1), pages 1-26, August.
  65. Lewis Evans & Graeme Guthrie & Steen Videbeck, 2008. "Assessing The Integration Of Electricity Markets Using Principal Component Analysis: Network And Market Structure Effects," Contemporary Economic Policy, Western Economic Association International, vol. 26(1), pages 145-161, January.
  66. Spodniak, Petr & Collan, Mikael, 2018. "Forward risk premia in long-term transmission rights: The case of electricity price area differentials (EPAD) in the Nordic electricity market," Utilities Policy, Elsevier, vol. 50(C), pages 194-206.
  67. Figueiredo, Nuno Carvalho & Silva, Patrícia Pereira da & Cerqueira, Pedro A., 2015. "Evaluating the market splitting determinants: evidence from the Iberian spot electricity prices," Energy Policy, Elsevier, vol. 85(C), pages 218-234.
  68. Lilian de Menezes & Melanie A. Houllier, 2013. "Modelling Germany´s Energy Transition and its Potential Effect on European Electricity Spot Markets," EcoMod2013 5395, EcoMod.
  69. Matteo Pelagatti & Pranab Sen, 2009. "A robust version of the KPSS test based on ranks," Working Papers 20090701, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  70. Higgs, Helen & Lien, Gudbrand & Worthington, Andrew C., 2015. "Australian evidence on the role of interregional flows, production capacity, and generation mix in wholesale electricity prices and price volatility," Economic Analysis and Policy, Elsevier, vol. 48(C), pages 172-181.
  71. Dempster, Gregory & Isaacs, Justin & Smith, Narin, 2008. "Price discovery in restructured electricity markets," Resource and Energy Economics, Elsevier, vol. 30(2), pages 250-259, May.
  72. Matteo Pelagatti & Pranab Sen, 2010. "A KPSS better than KPSS. Rank tests for short memory stationarity," Working Papers 20110201, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  73. Gugler, Klaus & Haxhimusa, Adhurim, 2019. "Market integration and technology mix: Evidence from the German and French electricity markets," Energy Policy, Elsevier, vol. 126(C), pages 30-46.
  74. repec:vuw:vuwscr:18938 is not listed on IDEAS
  75. Per B. Solibakke, 2022. "Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 17-42, January.
  76. Panagiotidis, Theodore & Rutledge, Emilie, 2007. "Oil and gas markets in the UK: Evidence from a cointegrating approach," Energy Economics, Elsevier, vol. 29(2), pages 329-347, March.
  77. Ama Agyeiwaa Abrokwah, 2018. "Price and Volatility Spillovers in the Electricity Reliability Council of Texas Day-Ahead Electricity Market," International Journal of Energy Economics and Policy, Econjournals, vol. 8(6), pages 322-330.
  78. Arciniegas, Ismael & Barrett, Chris & Marathe, Achla, 2003. "Assessing the efficiency of US electricity markets," Utilities Policy, Elsevier, vol. 11(2), pages 75-86, June.
  79. Worthington, Andrew & Kay-Spratley, Adam & Higgs, Helen, 2005. "Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis," Energy Economics, Elsevier, vol. 27(2), pages 337-350, March.
  80. repec:dau:papers:123456789/5450 is not listed on IDEAS
  81. Lucia Parisio & Matteo Pelagatti, 2019. "Market coupling between electricity markets: theory and empirical evidence for the Italian–Slovenian interconnection," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 36(2), pages 527-548, July.
  82. Rammerstorfer, Margarethe & Wagner, Christian, 2009. "Reforming minute reserve policy in Germany: A step towards efficient markets?," Energy Policy, Elsevier, vol. 37(9), pages 3513-3519, September.
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