Integration of European Electricity Markets: Evidence from Spot Prices

Klaus Gugler, Adhurim Haxhimusa, Mario Liebensteiner

Publication: Scientific journalJournal articlepeer-review

Abstract

This paper investigates the current state of market integration among European electricity day-ahead spot prices. In our empirical analysis we utilize a large sample of hourly spot prices of 25 European markets for the period 2010Jan01/01h-2015Jun30/24h and combine it with other relevant data such as hourly interconnector capacities and the existence of market coupling. Firstly, empirical results from cointegration analysis indicate that market integration increased from 2010 to 2012 but then declined until 2015, despite the introduction of market coupling in many markets. Secondly, we empirically assess error correction after price shocks and reach the conclusion that markets' strength of the error correction mechanism is rather modest. In general, our findings suggest that the integration among European electricity markets has a large potential for improvements from additional capacity investments and further promotion of market coupling.
Original languageEnglish
Pages (from-to)41 - 66
JournalEnergy Journal
Volume39
Issue numberSI2
DOIs
Publication statusPublished - 2018

Austrian Classification of Fields of Science and Technology (ÖFOS)

  • 211
  • 502013 Industrial economics
  • 502034 Regulatory economics

Cite this