Integration and Convergence in European Electricity Markets

Carlo Andrea Bollino (), Davide Ciferri and Paolo Polinori

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we investigate wholesale electricity prices integration process in the main European markets. After reforms introduced in the last decades in Europe, wholesale electricity prices are now determined in regulated markets. However, while market institutional frameworks show several similarities, there are still differences in fuel mix, generation units technologies, market structure. Using multivariate cointegration techniques we test integration dynamics within four European markets (Austria, Germany, France and Italy) for which we have collected a novel dataset of spot prices from 2004 to 2010. We provide evidence that German market constitutes a common stochastic trend driving the long-run behavior of other markets. Our results are robust to causality test, to Granger causality test, to oil price relevance test and provide additional evidence to assess the efficient market hypothesis in European electricity markets.

Keywords: European electricity markets; electricity spot prices; cointegration; structural MA representation. (search for similar items in EconPapers)
JEL-codes: C32 L16 Q41 (search for similar items in EconPapers)
Date: 2013-01-07
New Economics Papers: this item is included in nep-com and nep-ene
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Citations: View citations in EconPapers (14)

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Related works:
Journal Article: Integration and convergence in European electricity markets (2020)
Working Paper: Integration and convergence in European electricity markets (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:44704

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