The Volatility Dynamics of Prices in the European Power Markets during the COVID-19 Pandemic Period

Zorana Zoran Stanković (), Milena Nebojsa Rajic, Zorana Božić, Peđa Milosavljević, Ancuța Păcurar, Cristina Borzan, Răzvan Păcurar and Emilia Sabău ()
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Zorana Zoran Stanković: Department of Management in Mechanical Engineering, Faculty of Mechanical Engineering, University of Niš, Aleksandra Medvedeva 14, 18000 Niš, Serbia
Milena Nebojsa Rajic: Department of Management in Mechanical Engineering, Faculty of Mechanical Engineering, University of Niš, Aleksandra Medvedeva 14, 18000 Niš, Serbia
Zorana Božić: Ministry of Economy, 11000 Belgrade, Serbia
Peđa Milosavljević: Department of Management in Mechanical Engineering, Faculty of Mechanical Engineering, University of Niš, Aleksandra Medvedeva 14, 18000 Niš, Serbia
Ancuța Păcurar: Department of Manufacturing Engineering, Faculty of Industrial Engineering, Robotics and Production Management, Technical University of Cluj-Napoca, 400114 Cluj-Napoca, Romania
Cristina Borzan: Department of Manufacturing Engineering, Faculty of Industrial Engineering, Robotics and Production Management, Technical University of Cluj-Napoca, 400114 Cluj-Napoca, Romania
Răzvan Păcurar: Department of Manufacturing Engineering, Faculty of Industrial Engineering, Robotics and Production Management, Technical University of Cluj-Napoca, 400114 Cluj-Napoca, Romania
Emilia Sabău: Department of Manufacturing Engineering, Faculty of Industrial Engineering, Robotics and Production Management, Technical University of Cluj-Napoca, 400114 Cluj-Napoca, Romania

Sustainability, 2024, vol. 16, issue 6, 1-16

Abstract: Surging electricity demand, its limited supply, and the pandemic crisis are just some of the key factors that resulted in changes in electricity prices on the power exchanges. This topic brings about a notable economic influence on both producers and consumers. The main purpose of this paper is to explore power price volatility during the four-year period from 1 January 2018 to 31 December 2021, in 28 power exchanges in Europe, measured using daily velocity data. In addition, based on the fixed and chain base index numbers, as well as their relative merits, this paper was designed to measure the gap and convergence in trends. Considering that the price volatility varies depending on the observation period, this paper performs a comparative analysis of electricity price volatility on a daily, monthly, quarterly, and annual level for all examined countries. The obtained results indicate that electricity price volatility is higher on a daily basis. Related to this, convergent trends are demonstrated on all 28 observed markets, and there is a growing trend of hourly spot prices in the analyzed four-year period. The results of this paper also confirm a higher power price volatility during the pandemic period in 2020 and 2021 compared to the prepandemic period during 2018 and 2019.

Keywords: power markets; energy price; volatility dynamics; energy management; sustainability (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2024
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