Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/174627
Title: Characterizing electricity market integration in Nord Pool
Author: Uribe Gil, Jorge Mario
Mosquera-López, Stephania
Guillén, Montserrat
Keywords: Energia elèctrica
Mercat
Anàlisi de variància
Variables aleatòries
Electric power
Market
Analysis of variance
Random variables
Issue Date: 1-Oct-2020
Publisher: Elsevier Ltd
Abstract: We empirically study market integration and the propagation of shocks in the interconnected market of Nord Pool. We document an increasing trend towards market integration over recent decades in Nord Pool and identify clear cycles accounting for greater integration (larger transmission of shocks) in the cold seasons. Greater market integration permits a higher level of risk sharing between electricity markets and, as a result, can be expected to reduce the probability of energy crises and energy shortages occurring in any given market. Furthermore, we differentiate between shock propagation in the two tails of the price variation distribution and, so, distinguish downside risk from upside risk spillovers. Market spillovers following price increments are transmitted to a greater degree than are those following price reductions in the market. We also document asymmetries related both to the size of the transaction area and as to whether a given area behaves as a net-exporter or net-importer of electricity. For instance, we show that the larger the transaction area, the smaller are the volatility shocks on prices that it receives from the rest of the system
Note: Versió postprint del document publicat a: https://doi.org/10.1016/j.energy.2020.118368
It is part of: Energy, 2020, vol. 208, num. 118368, p. 1-11
URI: http://hdl.handle.net/2445/174627
Related resource: https://doi.org/10.1016/j.energy.2020.118368
ISSN: 0360-5442
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Files in This Item:
File Description SizeFormat 
707492.pdf737.09 kBAdobe PDFView/Open    Request a copy


Embargat   Document embargat fins el 27-9-2022


This item is licensed under a Creative Commons License Creative Commons