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Integration and shock transmissions across European electricity forward markets

  • Bunn, Derek W.
  • Gianfreda, Angelica

New results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day-ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration, increasing over time, despite an underlying inefficiency in each market with respect to the forward and spot price convergence. The spatial analysis, on a financial dimension, is undertaken using causality tests, cointegration and impulse-response techniques, for both price levels and volatilities. In general we find less influence of the size and proximity of neighbouring markets than other studies, more integration at baseload than peak, and, surprisingly, less integration in forwards than spot prices.

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Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 32 (2010)
Issue (Month): 2 (March)
Pages: 278-291

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Handle: RePEc:eee:eneeco:v:32:y:2010:i:2:p:278-291
Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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  1. De Vany, Arthur S & Walls, W David, 1999. "Price Dynamics in a Network of Decentralized Power Markets," Journal of Regulatory Economics, Springer, vol. 15(2), pages 123-40, March.
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  7. De Vany, Arthur S. & Walls, W. David, 1999. "Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US," Energy Economics, Elsevier, vol. 21(5), pages 435-448, October.
  8. Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January.
  9. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
  10. 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.
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