Integration and Shock Transmissions across European Electricity Forward Markets

Posted: 12 Dec 2012

See all articles by Angelica Gianfreda

Angelica Gianfreda

Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena

Derek W. Bunn

London Business School

Date Written: 2010

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 neighbouring markets than other studies, more integration at baseload than peak, and, surprisingly, less integration in forwards than spot prices.

Keywords: Electricity, Forward prices, Efficiency, Integration, Volatility, Shock transmissions

Suggested Citation

Gianfreda, Angelica and Bunn, Derek W., Integration and Shock Transmissions across European Electricity Forward Markets (2010). Energy Economics, Vol. 32, No. 2, 2010, Available at SSRN: https://ssrn.com/abstract=2188112

Angelica Gianfreda (Contact Author)

Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena

Via Università 4
Modena, Modena 41121
Italy

Derek W. Bunn

London Business School ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
0207 000 8000 (Phone)

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