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Analysis of Mean and Volatility Price Transmissions in the MIBEL and EPEX Electricity Spot Markets

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  • Aitor Ciarreta
  • Ainhoa Zarraga

Abstract

We use multivariate Generalized Autoregressive Conditional Heteroscedastic models to assess evidence of electricity market integration between Spain, Portugal, Austria, Germany, Switzerland and France from 7-1-2007 to 2-29-2012. Spillovers and price convergence are used as indicators of integration. Evidence of dynamic conditional correlation is found for the pairs Spain-Portugal, Ger-many-Austria and Switzerland-Austria. Weak evidence of integration is found between Spain-France and Germany-France since no cross volatility transmissions are estimated. There are increasing price convergence and significant mean and volatility spillovers in the rest of the country pairs. We conclude that the European Union target of achieving a single electricity market depends largely on increasing interconnections and efficient rules of market operation.

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  • Aitor Ciarreta & Ainhoa Zarraga, 2015. "Analysis of Mean and Volatility Price Transmissions in the MIBEL and EPEX Electricity Spot Markets," The Energy Journal, , vol. 36(4), pages 41-60, October.
    • Handle: RePEc:sae:enejou:v:36:y:2015:i:4:p:41-60
    DOI: 10.5547/01956574.36.4.acia
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    2. Alasseur, C. & Féron, O., 2018. "Structural price model for coupled electricity markets," Energy Economics, Elsevier, vol. 75(C), pages 104-119.
    3. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
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    6. Sapio, Alessandro & Spagnolo, Nicola, 2020. "The effect of a new power cable on energy prices volatility spillovers," Energy Policy, Elsevier, vol. 144(C).
    7. Goutte, Stéphane & Vassilopoulos, Philippe, 2019. "The value of flexibility in power markets," Energy Policy, Elsevier, vol. 125(C), pages 347-357.
    8. Iglesias-Casal, Ana & López-Penabad, María-Celia & López-Andión, Carmen & Maside-Sanfiz, José Manuel, 2020. "Diversification and optimal hedges for socially responsible investment in Brazil," Economic Modelling, Elsevier, vol. 85(C), pages 106-118.
    9. Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Energy Economics, Elsevier, vol. 66(C), pages 217-227.
    10. Lin Han & Ivor Cribben & Stefan Trueck, 2022. "Extremal Dependence in Australian Electricity Markets," Papers 2202.09970, arXiv.org.
    11. Lyu, Chenyan & Scholtens, Bert, 2024. "Integration of the international carbon market: A time-varying analysis," Renewable and Sustainable Energy Reviews, Elsevier, vol. 191(C).
    12. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
    13. Chanatásig-Niza, Evelyn & Ciarreta, Aitor & Zarraga, Ainhoa, 2022. "A volatility spillover analysis with realized semi(co)variances in Australian electricity markets," Energy Economics, Elsevier, vol. 111(C).
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    15. Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).

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    More about this item

    Keywords

    Electricity price markets; Multivariate GARCH; Volatility spillovers;
    All these keywords.

    JEL classification:

    • F0 - International Economics - - General

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