Reassessing the integration of European electricity markets A fractional cointegration analysis》.pdf

ENEECO-02921; No of Pages 19 Energy Economics xxx (2014) xxx–xxx Contents lists available at ScienceDirect Energy Economics journal homepage: www. /locate/eneco Reassessing the integration of European electricity markets: A fractional ☆ cointegration analysis Lilian M. de Menezes, Melanie A. Houllier ⁎ Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, UK a r t i c l e i n f o a b s t r a c t Article history: This study extends existing literature on the assessment of electricity market integration in Europe, by developing Received 30 September 2013 and testing hypotheses on the convergence of electricity wholesale prices, and adopting a time-varying fractional Received in revised form 21 October 2014 cointegration analysis. In addition, the potential impacts of some special events that may affect system capacity Accepted 28 October 2014 (new interconnection, market coupling, increase in share of intermittent generation) on spot and forward mar- Available online xxxx kets are considered and evaluated. Daily spot prices from February 2000 to March 2013 of nine European electric- Keywords: ity spot markets (APX-UK, APX-NL, Belpex, EPEX-FR, EPEX-DE, IPEX, Nordpool, Omel and OTE) and month-ahead Electricity market integration in Europe prices in four markets (French, British, German and Dutch) from November 2007 to December 2012 are