 Characterizing electricity market integration in Nord PoolJorge Uribe, Stephania Mosquera-López and Montserrat Guillen Energy, 2020, vol. 208, issue C Abstract: We empirically study market integration and the propagation of shocks in the interconnected market of Nord Pool. We document an increasing trend towards market integration over recent decades in Nord Pool and identify clear cycles accounting for greater integration (larger transmission of shocks) in the cold seasons. Greater market integration permits a higher level of risk sharing between electricity markets and, as a result, can be expected to reduce the probability of energy crises and energy shortages occurring in any given market. Furthermore, we differentiate between shock propagation in the two tails of the price variation distribution and, so, distinguish downside risk from upside risk spillovers. Market spillovers following price increments are transmitted to a greater degree than are those following price reductions in the market. We also document asymmetries related both to the size of the transaction area and as to whether a given area behaves as a net-exporter or net-importer of electricity. For instance, we show that the larger the transaction area, the smaller are the volatility shocks on prices that it receives from the rest of the system. Keywords: Electricity prices; Market integration; Semivariances; Volatility spillovers (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:208:y:2020:i:c:s0360544220314754 DOI: 10.1016/j.energy.2020.118368 Access Statistics for this article Energy is currently edited by Henrik Lund and Mark J. Kaiser More articles in Energy from Elsevier |
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