Deregulated Wholesale Electricity Prices in Europe

Bruno Bosco, Lucia Parisio (), Matteo Pelagatti () and Fabio Baldi

No 20061001, Working Papers from Università degli Studi di Milano-Bicocca, Dipartimento di Statistica

Abstract: 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)
Pages: 25 pages
Date: 2006-10
New Economics Papers: this item is included in nep-eec and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://www.statistica.unimib.it/utenti/WorkingPapers/WorkingPapers/20061001.pdf First version, October 2006 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.statistica.unimib.it:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

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:mis:wpaper:20061001

Access Statistics for this paper

More papers in Working Papers from Università degli Studi di Milano-Bicocca, Dipartimento di Statistica Contact information at EDIRC.
Bibliographic data for series maintained by Matteo Pelagatti ().