Multiscale analysis of European electricity markets co-movements
By: PINHO, Carlos
.
Contributor(s): MADALENO, Mara.
Material type: 
ArticlePublisher: [Barcelos] : Instituto Politécnico do Cávado e do Ave, Feb. 2011Subject(s): Energia Elétrica | Mercado | Política Energética | RegulaçãoTékhne : Revista de Estudos Politécnicos = Polytechnical Studies Review 9, 15, p. 33-57Abstract: The focus of this research is on the analysis of the role of electricity power exchanges for the creation of a common European electricity market. Using daily power exchange prices of 6 European electricity markets we apply wavelet analysis, allowing us to analyze co-movements at different time scales, as well as to sustain and improve previous results regarding correlation analysis between European electricity markets. Results give limited support to the assumption of a single "European electricity market", especially at lower scales (high frequencies). Although some European countries share a common trend, the hypothesis of strong integration holds only for geographically closer countries, but not the perfect integration among the markets considered in the sample, being this lack of perfect integration further explored. They have specific characteristics that prevent, probably also in the near future, o complete integration into a common European market
The focus of this research is on the analysis of the role of electricity power exchanges for the creation of a common European electricity market. Using daily power exchange prices of 6 European electricity markets we apply wavelet analysis, allowing us to analyze co-movements at different time scales, as well as to sustain and improve previous results regarding correlation analysis between European electricity markets. Results give limited support to the assumption of a single "European electricity market", especially at lower scales (high frequencies). Although some European countries share a common trend, the hypothesis of strong integration holds only for geographically closer countries, but not the perfect integration among the markets considered in the sample, being this lack of perfect integration further explored. They have specific characteristics that prevent, probably also in the near future, o complete integration into a common European market
Click on an image to view it in the image viewer
There are no comments for this item.