Integration and shock transmissions across European electricity forward markets
By D. W. Bunn, Angelica Gianfreda. 2010
119 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Electrical and Electronic Engineering
View Paper: https://www.semanticscholar.org/paper/53e6e714ccce69bc08143519f3e8360439a3e201
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
Citations in the corpus
- Causal modeling and inference for electricity markets (2011, background): “Secondly, six years is a long time in quite rapidly evolving and increasingly integrated European gas and electricity markets (Zachmann, 2008; Bunn and Gianfreda, 2010; Ruperez Micola and Bunn, 2007).”