Araştırma Makalesi
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CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?

Yıl 2024, , 1 - 14, 15.02.2024
https://doi.org/10.58702/teyd.1357334

Öz

European electricity market integration has been a research focus, especially after the third electricity directive emphasizing the internal market. Electricity markets are characterized by immediate consumption with storage and transmission constraints, leading to unique price dynamics. Price convergence in European markets can lead to competitive pricing, advocating market integration. This research examines whether European wholesale spot electricity prices converge. Prior literature uses sigma and beta-convergence to test price convergence. We have examined the stochastic convergence of prices across 19 European nations from 2013 to 2021 utilizing monthly data. For this analysis, we employed LM tests incorporating trend breaks grounded on the RALS regression framework. RALS-LM tests are more powerful than linear tests when structural breaks and nonnormal errors are present. LM and RALS-LM unit root tests with two trend breaks resulted in rejection of the unit root hypothesis for all countries, suggesting relative wholesale prices are stationary. Thus, shocks to relative prices are transient, supporting price convergence at the wholesale level. This result should be considered carefully as it contradicts the results from recent literature that examines retail electricity prices using beta- sigma- and club convergence. The policy implications of this finding can provide a foundation for establishing policies that promote a harmonized and integrated European electricity market.

Kaynakça

  • Amundsen, E. S. and Bergman, L. (2007). Integration of multiple national markets for electricity: The case of Norway and Sweden. Energy Policy, 35(6), 3383-3394.
  • Balaguer, J. (2011). Cross-border integration in the European electricity market. Evidence from the pricing behavior of Norwegian and Swiss exporters. Energy Policy, 39(9), 4703-4712.
  • Bosco, B., Parisio, L., Pelagatti, M. and Baldi, F. (2010). Long‐run relations in European electricity prices. Journal of Applied Econometrics, 25(5), 805-832.
  • Bower, J. (2002). Why did electricity prices fall in England and Wales?: Market Mechanism or Market Structure?. Oxford Institute for Energy Studies.
  • Cassetta, E., Nava, C. R. and Zoia, M. G. (2022a). A three-step procedure to investigate the convergence of electricity and natural gas prices in the European Union. Energy Economics, 105, 105697.
  • Cassetta, E., Nava, C. R. and Zoia, M. G. (2022b). EU electricity market integration and cross-country convergence in residential and industrial end-user prices. Energy Policy, 165, 112934.
  • De Jonghe, C., Meeus, L. and Belmans, R. (2008, May). Power exchange price volatility analysis after one year of trilateral market coupling. In 2008 5th İnternational Conference on the European Electricity Market, 1-6.
  • de Menezes, L. M. and Houllier, M. A. (2016). Reassessing the integration of European electricity markets: A fractional cointegration analysis. Energy Economics, 53, 132-150.
  • Evans, T. and McMillan, D. G. (2009). Financial co-movement and correlation: evidence from 33 international stock market indices. International Journal of Banking, Accounting and Finance, 1(3), 215-241.
  • Gianfreda, A., Parisio, L. and Pelagatti, M. (2016). Revisiting long-run relations in power markets with high RES penetration. Energy Policy, 94, 432-445.
  • Higgs, H. (2009). Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets. Energy Economics, 31(5), 748-756.
  • Im, K. S. and Schmidt, P. (2008). More Efficient Estimation under Non-Normality when Higher Moments Do Not Depend on the Regressors, Using Residual-Augmented Least Squares. Journal of Econometrics, 144(1), 219-233.
  • Karatepe, S. (2017). Avrupa elektrik piyasaları: entegrasyon ve etkileşimler. [Doctoral Dissertation]. Bursa Uludag University.
  • Lee, H., Meng, M. and Lee, J. (2011). How do nonlinear unit root tests perform with non normal errors?. Communications in Statistics-Simulation and Computation, 40(8), 1182-1191.
  • Lee, J., Strazicich, M. C. and Meng, M. (2012). Two-step LM unit root tests with trend-breaks. Journal of Statistical and Econometric Methods, 1(2), 81-107.
  • Meng, M., Im, K. S., Lee, J. and Tieslau, M. A. (2014). More powerful LM unit root tests with Non-normal Errors. In R. C. Sickles and W. C. Horrace (Ed.), Festschrift in honor of peter schmidt econometric methods and applications (pp. 343-358). New York: Springer.
  • Meng, M., Lee, J. and Payne, J. E. (2016). RALS-LM unit root test with trend breaks and non-normal errors: application to the prebisch–singer hypothesis. Studies in Nonlinear Dynamics and Econometrics, 21(1), 31-45.
  • Nepal, R. and Jamasb, T. (2012). Interconnections and market integration in the Irish Single Electricity Market. Energy Policy, 51, 425-434.
  • Nitsche, R., Wiethaus, L., Ockenfels, A. and Roeller, L. H. (2010). Electricity wholesale markets. Market integration and competition from a German perspective; Grosshandelsmaerkte fuer Strom. Marktintegration und Wettbewerb aus deutscher Perspektive. ET, Energiewirtschaftliche Tagesfragen, 60.
  • Pellini, E. (2014). Convergence across European electricity wholesale spot markets: still a way to go. E. Pellini, Dissertation: Essays on European Electricity Market Integration, 100-132.
  • Pinho, C. and Madaleno, M. (2011). Multiscale analysis of European electricity markets. Mimeo, 1- 31.
  • Robinson, T. (2008). The evolution of electricity prices in the EU since the single European act. Economic Issues, 13(2).
  • Saez, Y., Mochon, A., Corona, L. and Isasi, P. (2019). Integration in the European electricity market: A machine learning-based convergence analysis for the Central Western Europe region. Energy Policy, 132, 549-566.
  • Schmidt, P. and Phillips, P. C. (1992). LM tests for a unit root in the presence of deterministic trends. Oxford Bulletin of Economics and Statistics, 54(3), 257-287.
  • Telatar, M. E. and Yaşar, N. (2020). The convergence of electricity prices for european union countries. Regulations in the Energy Industry: Financial, Economic and Legal Implications, 55-63.
  • Zachmann, G. (2008). Electricity wholesale market prices in Europe: Convergence?. Energy Economics, 30(4), 1659-1671.

AVRUPA PİYASALARINDA TOPTAN ELEKTRİK FİYATLARININ YAKINSAMASI: HENÜZ VARMADIK MI?

Yıl 2024, , 1 - 14, 15.02.2024
https://doi.org/10.58702/teyd.1357334

Öz

Avrupa elektrik piyasası entegrasyonu, özellikle iç piyasayı hedefleyen üçüncü elektrik direktifinden sonra, araştırmaların odak noktası olmuştur. Elektrik piyasaları, benzersiz fiyat dinamiklerine yol açan depolama ve iletim ağı kısıtları ve anlık tüketim ile karakterize edilir. Avrupa piyasalarındaki fiyat yakınsaması, piyasa entegrasyonunu destekleyerek rekabetçi fiyatlandırmaya yol açabilir. Bu araştırma, Avrupa toptan spot elektrik fiyatlarının yakınsayıp yakınsamadığını incelemektedir. Önceki literatür, fiyat yakınsamasını test etmek için sigma ve beta yakınsamasını kullanmaktadır. Bu araştırma, 2013-2021 yılları arasında 19 Avrupa ülkesinde fiyatların stokastik yakınsamasını aylık veriler ve RALS regresyonuna dayalı trend kırılmalı LM testleri kullanarak incelemektedir. RALS-LM testleri, yapısal kırılmalar ve normal olmayan hatalar mevcut olduğunda, doğrusal testlerden daha güçlüdür. İki trend kırılmalı LM ve RALS-LM birim kök testleri tüm ülkeler için birim kök hipotezini reddetmekte ve nispi toptan elektrik fiyatlarının durağan olduğunu göstermektedir. Dolayısıyla, nispi fiyatlara gelen şoklar geçicidir ve toptan elektrik piyasaları düzeyinde fiyat yakınsamasını desteklemektedir. Bu sonuç, perakende elektrik fiyatlarını beta- sigma- ve kulüp yakınsaması kullanarak inceleyen son literatürdeki sonuçlarla çeliştiği için dikkatle değerlendirilmelidir. Bu bulgunun politika çıkarımları, uyumlu ve entegre bir Avrupa elektrik piyasasını teşvik eden politikaların oluşturulması için bir temel sağlayabilir.

Kaynakça

  • Amundsen, E. S. and Bergman, L. (2007). Integration of multiple national markets for electricity: The case of Norway and Sweden. Energy Policy, 35(6), 3383-3394.
  • Balaguer, J. (2011). Cross-border integration in the European electricity market. Evidence from the pricing behavior of Norwegian and Swiss exporters. Energy Policy, 39(9), 4703-4712.
  • Bosco, B., Parisio, L., Pelagatti, M. and Baldi, F. (2010). Long‐run relations in European electricity prices. Journal of Applied Econometrics, 25(5), 805-832.
  • Bower, J. (2002). Why did electricity prices fall in England and Wales?: Market Mechanism or Market Structure?. Oxford Institute for Energy Studies.
  • Cassetta, E., Nava, C. R. and Zoia, M. G. (2022a). A three-step procedure to investigate the convergence of electricity and natural gas prices in the European Union. Energy Economics, 105, 105697.
  • Cassetta, E., Nava, C. R. and Zoia, M. G. (2022b). EU electricity market integration and cross-country convergence in residential and industrial end-user prices. Energy Policy, 165, 112934.
  • De Jonghe, C., Meeus, L. and Belmans, R. (2008, May). Power exchange price volatility analysis after one year of trilateral market coupling. In 2008 5th İnternational Conference on the European Electricity Market, 1-6.
  • de Menezes, L. M. and Houllier, M. A. (2016). Reassessing the integration of European electricity markets: A fractional cointegration analysis. Energy Economics, 53, 132-150.
  • Evans, T. and McMillan, D. G. (2009). Financial co-movement and correlation: evidence from 33 international stock market indices. International Journal of Banking, Accounting and Finance, 1(3), 215-241.
  • Gianfreda, A., Parisio, L. and Pelagatti, M. (2016). Revisiting long-run relations in power markets with high RES penetration. Energy Policy, 94, 432-445.
  • Higgs, H. (2009). Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets. Energy Economics, 31(5), 748-756.
  • Im, K. S. and Schmidt, P. (2008). More Efficient Estimation under Non-Normality when Higher Moments Do Not Depend on the Regressors, Using Residual-Augmented Least Squares. Journal of Econometrics, 144(1), 219-233.
  • Karatepe, S. (2017). Avrupa elektrik piyasaları: entegrasyon ve etkileşimler. [Doctoral Dissertation]. Bursa Uludag University.
  • Lee, H., Meng, M. and Lee, J. (2011). How do nonlinear unit root tests perform with non normal errors?. Communications in Statistics-Simulation and Computation, 40(8), 1182-1191.
  • Lee, J., Strazicich, M. C. and Meng, M. (2012). Two-step LM unit root tests with trend-breaks. Journal of Statistical and Econometric Methods, 1(2), 81-107.
  • Meng, M., Im, K. S., Lee, J. and Tieslau, M. A. (2014). More powerful LM unit root tests with Non-normal Errors. In R. C. Sickles and W. C. Horrace (Ed.), Festschrift in honor of peter schmidt econometric methods and applications (pp. 343-358). New York: Springer.
  • Meng, M., Lee, J. and Payne, J. E. (2016). RALS-LM unit root test with trend breaks and non-normal errors: application to the prebisch–singer hypothesis. Studies in Nonlinear Dynamics and Econometrics, 21(1), 31-45.
  • Nepal, R. and Jamasb, T. (2012). Interconnections and market integration in the Irish Single Electricity Market. Energy Policy, 51, 425-434.
  • Nitsche, R., Wiethaus, L., Ockenfels, A. and Roeller, L. H. (2010). Electricity wholesale markets. Market integration and competition from a German perspective; Grosshandelsmaerkte fuer Strom. Marktintegration und Wettbewerb aus deutscher Perspektive. ET, Energiewirtschaftliche Tagesfragen, 60.
  • Pellini, E. (2014). Convergence across European electricity wholesale spot markets: still a way to go. E. Pellini, Dissertation: Essays on European Electricity Market Integration, 100-132.
  • Pinho, C. and Madaleno, M. (2011). Multiscale analysis of European electricity markets. Mimeo, 1- 31.
  • Robinson, T. (2008). The evolution of electricity prices in the EU since the single European act. Economic Issues, 13(2).
  • Saez, Y., Mochon, A., Corona, L. and Isasi, P. (2019). Integration in the European electricity market: A machine learning-based convergence analysis for the Central Western Europe region. Energy Policy, 132, 549-566.
  • Schmidt, P. and Phillips, P. C. (1992). LM tests for a unit root in the presence of deterministic trends. Oxford Bulletin of Economics and Statistics, 54(3), 257-287.
  • Telatar, M. E. and Yaşar, N. (2020). The convergence of electricity prices for european union countries. Regulations in the Energy Industry: Financial, Economic and Legal Implications, 55-63.
  • Zachmann, G. (2008). Electricity wholesale market prices in Europe: Convergence?. Energy Economics, 30(4), 1659-1671.
Toplam 26 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finansal Ekonomi, Mikro İktisat (Diğer)
Bölüm Araştırma Makalesi
Yazarlar

Selin Karatepe 0000-0002-1803-4925

Erken Görünüm Tarihi 29 Ekim 2023
Yayımlanma Tarihi 15 Şubat 2024
Yayımlandığı Sayı Yıl 2024

Kaynak Göster

APA Karatepe, S. (2024). CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?. Toplum Ekonomi Ve Yönetim Dergisi, 5(1), 1-14. https://doi.org/10.58702/teyd.1357334
AMA Karatepe S. CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?. TEYD. Şubat 2024;5(1):1-14. doi:10.58702/teyd.1357334
Chicago Karatepe, Selin. “CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?”. Toplum Ekonomi Ve Yönetim Dergisi 5, sy. 1 (Şubat 2024): 1-14. https://doi.org/10.58702/teyd.1357334.
EndNote Karatepe S (01 Şubat 2024) CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?. Toplum Ekonomi ve Yönetim Dergisi 5 1 1–14.
IEEE S. Karatepe, “CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?”, TEYD, c. 5, sy. 1, ss. 1–14, 2024, doi: 10.58702/teyd.1357334.
ISNAD Karatepe, Selin. “CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?”. Toplum Ekonomi ve Yönetim Dergisi 5/1 (Şubat 2024), 1-14. https://doi.org/10.58702/teyd.1357334.
JAMA Karatepe S. CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?. TEYD. 2024;5:1–14.
MLA Karatepe, Selin. “CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?”. Toplum Ekonomi Ve Yönetim Dergisi, c. 5, sy. 1, 2024, ss. 1-14, doi:10.58702/teyd.1357334.
Vancouver Karatepe S. CONVERGENCE OF WHOLESALE ELECTRICITY PRICES ACROSS EUROPEAN MARKETS: ARE WE THERE YET?. TEYD. 2024;5(1):1-14.