Deregulated Wholesale Electricity Prices in Europe
Lucia Parisio (),
Matteo Pelagatti () and
No 20061001, Working Papers from Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
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.
Keywords: European electricity prices; Cointegration; Interdependencies; Equilibrium Correction model; Oil prices (search for similar items in EconPapers)
JEL-codes: C32 D44 L94 Q40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-ene
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Persistent link: https://EconPapers.repec.org/RePEc:mis:wpaper:20061001
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