A history of European electricity day-ahead prices

Ronald Huisman and Mehtap Kili砍

Applied Economics, 2013, vol. 45, issue 18, 2683-2693

Abstract: In this article, we examine the development of day-ahead prices in five European markets which became more connected over recent years. Where previous studies examined the convergence of price levels over time, we focus on patterns in estimates for the parameters in a switching regimes model. This makes it possible to distinguish between prices under normal market conditions and under non-normal market conditions, those market conditions that can cause extreme price spikes. We expect that increased connectivity yields additional supply in the short-term and therefore will reduce the impact of price spikes. Our results indicate that the impact of price spikes and volatility decreased over time, that prices behave more random, and that the parameter estimates between various connected markets seem to have converged between the Belgian, Dutch, French, German and Nordic day-ahead markets over the years 2003 through 2010. These results can be explained by increased connectivity and improved liquidity.

Date: 2013
References: View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2012.665601 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:45:y:2013:i:18:p:2683-2693

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2012.665601

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().