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A history of European electricity day-ahead prices

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  • Ronald Huisman
  • Mehtap Kili砍

Abstract

In this article, we examine the development of day-ahead prices in five European markets which became more connected over recent years. Where previous studies examined the convergence of price levels over time, we focus on patterns in estimates for the parameters in a switching regimes model. This makes it possible to distinguish between prices under normal market conditions and under non-normal market conditions, those market conditions that can cause extreme price spikes. We expect that increased connectivity yields additional supply in the short-term and therefore will reduce the impact of price spikes. Our results indicate that the impact of price spikes and volatility decreased over time, that prices behave more random, and that the parameter estimates between various connected markets seem to have converged between the Belgian, Dutch, French, German and Nordic day-ahead markets over the years 2003 through 2010. These results can be explained by increased connectivity and improved liquidity.

Suggested Citation

  • Ronald Huisman & Mehtap Kili砍, 2013. "A history of European electricity day-ahead prices," Applied Economics, Taylor & Francis Journals, vol. 45(18), pages 2683-2693, June.
    • Handle: RePEc:taf:applec:v:45:y:2013:i:18:p:2683-2693
    DOI: 10.1080/00036846.2012.665601
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    Cited by:

    1. Florian Ziel & Rick Steinert & Sven Husmann, 2015. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Papers 1501.00818, arXiv.org, revised Dec 2015.
    2. Renato Fernandes & Isabel Soares, 2022. "Reviewing Explanatory Methodologies of Electricity Markets: An Application to the Iberian Market," Energies, MDPI, vol. 15(14), pages 1-17, July.
    3. Fanelli, Viviana & Maddalena, Lucia & Musti, Silvana, 2016. "Modelling electricity futures prices using seasonal path-dependent volatility," Applied Energy, Elsevier, vol. 173(C), pages 92-102.
    4. Davide Ciferri & Maria Chiara D’Errico & Paolo Polinori, 2020. "Integration and convergence in European electricity markets," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 463-492, July.
    5. Fleten, Stein-Erik & Hagen, Liv Aune & Nygård, Maria Tandberg & Smith-Sivertsen, Ragnhild & Sollie, Johan M., 2015. "The overnight risk premium in electricity forward contracts," Energy Economics, Elsevier, vol. 49(C), pages 293-300.
    6. Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel, 2015. "Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach," Working Papers on Finance 1512, University of St. Gallen, School of Finance.
    7. Aatola, Piia & Ollikainen, Markku & Toppinen, Anne, 2013. "Impact of the carbon price on the integrating European electricity market," Energy Policy, Elsevier, vol. 61(C), pages 1236-1251.
    8. Mirakyan, Atom & Meyer-Renschhausen, Martin & Koch, Andreas, 2017. "Composite forecasting approach, application for next-day electricity price forecasting," Energy Economics, Elsevier, vol. 66(C), pages 228-237.
    9. Waterson, Michael & Trujillo- Baute, Elisa & Giulietti, Monica, 2022. "Intermittency and the social role of storage," Energy Policy, Elsevier, vol. 165(C).
    10. Gianfreda, Angelica & Maranzano, Paolo & Parisio, Lucia & Pelagatti, Matteo, 2023. "Testing for integration and cointegration when time series are observed with noise," Economic Modelling, Elsevier, vol. 125(C).
    11. Sirin, Selahattin Murat & Camadan, Ercument & Erten, Ibrahim Etem & Zhang, Alex Hongliang, 2023. "Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices," Energy Policy, Elsevier, vol. 180(C).
    12. repec:dui:wpaper:1318 is not listed on IDEAS
    13. Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
    14. Christian Pape & Arne Vogler & Oliver Woll & Christoph Weber, 2017. "Forecasting the distributions of hourly electricity spot prices," EWL Working Papers 1705, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised May 2017.
    15. Kiesel, Rüdiger & Kusterman, Michael, 2016. "Structural models for coupled electricity markets," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 16-38.
    16. Vika Koban, 2017. "The impact of market coupling on Hungarian and Romanian electricity markets: Evidence from the regime-switching model," Energy & Environment, , vol. 28(5-6), pages 621-638, September.
    17. Olav H. Hohmeyer & Sönke Bohm, 2015. "Trends toward 100% renewable electricity supply in Germany and Europe: a paradigm shift in energy policies," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 4(1), pages 74-97, January.
    18. Do, Hung Xuan & Nepal, Rabindra & Pham, Son Duy & Jamasb, Tooraj, 2024. "Electricity market crisis in Europe and cross border price effects: A quantile return connectedness analysis," Energy Economics, Elsevier, vol. 135(C).
    19. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Spot and Derivatives Pricing when Markets are Interconnected," Working Papers on Finance 1323, University of St. Gallen, School of Finance.
    20. Bigerna, Simona & Bollino, Carlo Andrea & Ciferri, Davide & Polinori, Paolo, 2017. "Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications," Renewable and Sustainable Energy Reviews, Elsevier, vol. 68(P1), pages 199-211.
    21. Halužan, Marko & Verbič, Miroslav & Zorić, Jelena, 2022. "An integrated model for electricity market coupling simulations: Evidence from the European power market crossroad," Utilities Policy, Elsevier, vol. 79(C).
    22. Gianfreda, Angelica & Parisio, Lucia & Pelagatti, Matteo, 2016. "Revisiting long-run relations in power markets with high RES penetration," Energy Policy, Elsevier, vol. 94(C), pages 432-445.
    23. Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Energy Economics, Elsevier, vol. 51(C), pages 430-444.
    24. Sapio, Alessandro & Spagnolo, Nicola, 2016. "Price regimes in an energy island: Tacit collusion vs. cost and network explanations," Energy Economics, Elsevier, vol. 55(C), pages 157-172.

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