This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long-run dynamic analysis reveal the presence of four highly integrated central European markets (France, Germany, the Netherlands and Austria). The trend shared by these four electricity markets appears to be common also to gas prices, but not to oil prices. The existence of a common long-term dynamics among electricity prices and between electricity prices and gas prices can be explained by the similarity of the market design across Europe and by the same marginal generation technology. Since standard unit root and cointegration tests are not robust to the peculiar characteristics of electricity prices time series, we also develop a battery of robust inference procedures that should assure the reliability of our results.

Bosco, B., VISCONTI PARISIO, L., Pelagatti, M., Baldi, F. (2010). Long-run relations in European electricity prices. JOURNAL OF APPLIED ECONOMETRICS, 25(5), 805-832 [10.1002/jae.1095].

Long-run relations in European electricity prices

BOSCO, BRUNO PAOLO;VISCONTI PARISIO, LUCIA;PELAGATTI, MATTEO MARIA;
2010

Abstract

This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long-run dynamic analysis reveal the presence of four highly integrated central European markets (France, Germany, the Netherlands and Austria). The trend shared by these four electricity markets appears to be common also to gas prices, but not to oil prices. The existence of a common long-term dynamics among electricity prices and between electricity prices and gas prices can be explained by the similarity of the market design across Europe and by the same marginal generation technology. Since standard unit root and cointegration tests are not robust to the peculiar characteristics of electricity prices time series, we also develop a battery of robust inference procedures that should assure the reliability of our results.
Articolo in rivista - Articolo scientifico
European electricity prices; Unit roots; Cointegration; Interdependencies; Robust inference; Gas prices
English
2010
25
5
805
832
none
Bosco, B., VISCONTI PARISIO, L., Pelagatti, M., Baldi, F. (2010). Long-run relations in European electricity prices. JOURNAL OF APPLIED ECONOMETRICS, 25(5), 805-832 [10.1002/jae.1095].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/5712
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