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

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.

Anahtar Kelimeler

• European electricity markets
• market integration
• stochastic convergence
• RALS-LM

AVRUPA PİYASALARINDA TOPTAN ELEKTRİK FİYATLARININ YAKINSAMASI: HENÜZ VARMADIK MI?

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.

Anahtar Kelimeler

• Avrupa elektrik piyasaları
• piyasa entegrasyonu
• stokastik yakınsama
• RALS-LM

Kaynakça

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