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The trend shared by these four electricity markets appears to be common also to gas prices, but not to oil prices. 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.
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Matteo Pelagatti. Fabio Baldi. Lucia Parisio. Bruno Bosco. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices.
The existence of long- term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives.
An early version of this paper was presented at the Second Italian Congress of Econometrics and Empirical Economics in Rimini: we would like to thank Gianluca Cubadda and Paolo Paruolo for very useful comments. Address for correspondence: Matteo Pelagatti Dept. In Europe, the reorganization of the electricity industry has been driven by the first and the second Electricity Directives of andrespectively.
The two Directives set a series of common measures to be taken by member countries in order to modify the entire architecture of their national markets. At the same time the European Commission is presently trying to implement a series of projects such as new cross-border lines and common regulation of cross-border trade to favour the creation of a truly common electricity market in the future.
While the newly created national wholesale markets show several important institutional similarities same market design and homogenous regulation of cross- border trade they still appear to be characterized by equally important differences in the physical number and size of generation units and technological structure mainly, the sources of electricity generation of their generation industries.
Then, when one looks at the behaviour of the time series of prices generated in the Eu- ropean markets, it is had to interpret similarities and differences in their dynamics and to attribute them to the prevalence of the institutional analogies or to the per- sistence of the structural diversities. Yet, an analysis of this kind is important to evaluate the state of the integration process of the European markets and the factors affecting their interdependency.
Still, despite the aforementioned regulation similarities and the existence of physical interconnections that allows a significant cross-border trade among coun- tries, post-reform European price series have generally been studied in isolation and the issue of the interdependency in the price dynamics of neighbouring markets has largely been ignored.
Indeed, to our knowledge no study to date has examined long run interdependencies among electricity prices at the European level. Filling this gap is the primary motivation of this paper. The finding of integrated dynamics of electricity prices would indicate that the markets consid- ered are evolving consistently with the European Commission projects.
Poor or no integration would suggest that the national structural differences are still domi- nant and that they affect price behaviour more heavily than the common regulation framework.
Our finding indicates that strong integration exists only for a small subset of neighbouring countries. For the others the integration hypothesis is non consis- tent with the data.
The integrated markets form a sort of core zone or central market. The paper is organized as follows. In Section 2 we present the main character- istics — both institutional and technical — of some wholesale European markets for which data are available. Section 3 contains a critical review of previous analyses of time series of electricity prices. In Section 4, we present our dataset which is given by hourly electricity prices recorded in the above markets and from which, to account for time spans disparities, a common sample of weekly median obser- vations is taken.
Motivation for the use of weekly medians is also given. Section 5 explains the methodology used for the estimations and discusses in particular the procedures followed to test the results of the long-run analysis. Section 6 contains the results of the long run analysis and the relative tests.
Section 7 concludes. In all countries the liberalization of the electricity industry followed a number of similar key steps: the unbundling of previously vertically integrated activities generation, transmission, distribution and retail supply ; the introduction of new institutions such as wholesale and retail competitive markets, with free entry of generators and suppliers; the creation of an independent national regulator who guarantees third party access to transmission and distribution networks.
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Long-run relations in european electricity prices
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