Price convergence within and between the Italian electricity day-ahead and dispatching services markets

Massimiliano Caporin, Fulvio Fontini and Paolo Santucci De Magistris
Additional contact information
Paolo Santucci De Magistris: Unviersity of Aarhus

No 215, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: In the paper we study the convergence of prices in the electricity markets, both at the day-ahead level and for the dispatching services (such as balancing and reserves). We introduce two concepts of price convergence, the convergence of zonal prices within each market (within convergence), and the converge of prices in a given zone between the two markets (between convergence). We provide an extensive analysis based on Italian data of within and between convergence. The zonal time-series of the prices are evaluated, seasonally adjusted and tested to assess their long-run properties. This evaluation induces us to focus on the behavior of the three largest and most interconnected continental zones of Italy (North, Center-North and Center-South). The fractional cointegration methodology used in the analysis shows the existence of long-run relationships among the series used in our study. This signals the existence of price convergence within markets, even though for the dispatching services market the evidence is less robust. The analysis also shows the existence of price convergence between markets in each zone, even though the evidence is more clearly affirmed for the North (the largest Italian zone), less so for the other two zones. Results are interpreted on the basis of the characteristics of the markets and the zones.

Keywords: zonal prices; convergence between zones; convergence within zones; fractional cointegration; long-run equilibrium. (search for similar items in EconPapers)
JEL-codes: C32 C51 Q40 Q41 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2017-12
New Economics Papers: this item is included in nep-ene, nep-eur and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://economia.unipd.it/sites/economia.unipd.it/files/20170215.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pad:wpaper:0215

Access Statistics for this paper

More papers in "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno" Contact information at EDIRC.
Bibliographic data for series maintained by Raffaele Dei Campielisi ().