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Deregulated Wholesale Electricity Prices in Europe

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

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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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
Contact details of provider: Postal: Via Bicocca degli Arcimboldi 8, 20126 Milano
Web page: http://www.statistica.unimib.it
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  1. Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030, March.
  2. Juan Toro & Natalia Fabra, 2002. "Price Wars and Collusion in the Spanish Electricity Market," Economics Series Working Papers 136, University of Oxford, Department of Economics.
  3. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  4. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
  5. Harris, D., 1996. "Principal Components Analysis of Cointegrated Time Series," Monash Econometrics and Business Statistics Working Papers 2/96, Monash University, Department of Econometrics and Business Statistics.
  6. Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
  7. repec:ner:tilbur:urn:nbn:nl:ui:12-3131736 is not listed on IDEAS
  8. Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2006. "Deregulated Wholesale Electricity Prices in Italy," Working Papers 20060301, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Apr 2006.
  9. Huisman, Ronald & Mahieu, Ronald, 2003. "Regime jumps in electricity prices," Energy Economics, Elsevier, vol. 25(5), pages 425-434, September.
  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.
  11. Mount, Timothy D. & Ning, Yumei & Cai, Xiaobin, 2006. "Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters," Energy Economics, Elsevier, vol. 28(1), pages 62-80, January.
  12. Byström, Hans, 2001. "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers 2001:19, Lund University, Department of Economics.
  13. Miguel Arranz & Alvaro Escribano, 2004. "Outliers - robust ECM cointegration tests based on the trend components," Spanish Economic Review, Springer, vol. 6(4), pages 243-266, December.
  14. Georg Zachmann, 2005. "Convergence of Electricity Wholesale Prices in Europe?: A Kalman Filter Approach," Discussion Papers of DIW Berlin 512, DIW Berlin, German Institute for Economic Research.
  15. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
  16. Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-78, October.
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