New results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration, increasing over time, despite an underlying inefficiency in each market with respect to the forward and spot price convergence. The spatial analysis, on a financial dimension, is undertaken using causality tests, cointegration and impulse response techniques, for both price levels and volatilities. In general we find less influence of the size and proximity of neighboring markets than other studies, more integration at baseload than peak, and, surprisingly, less integration in forwards than spot prices.
Integration and shock transmissions across European electricity forward markets
GIANFREDA, Angelica;
2010-01-01
Abstract
New results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration, increasing over time, despite an underlying inefficiency in each market with respect to the forward and spot price convergence. The spatial analysis, on a financial dimension, is undertaken using causality tests, cointegration and impulse response techniques, for both price levels and volatilities. In general we find less influence of the size and proximity of neighboring markets than other studies, more integration at baseload than peak, and, surprisingly, less integration in forwards than spot prices.
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