Market Coupling of Electricity Markets
| Autor: | Büyükkara, Göknur, Dorsman, Andre, Karan, Mehmet Baha |
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| Přispěvatelé: | Finance |
| Rok vydání: | 2010 |
| Předmět: | |
| Zdroj: | Büyükkara, G, Dorsman, A & Karan, M B 2011, ' Market coupling of electricity markets ', European Journal of Economics, Finance and Administrative Sciences, no. 43, pp. 12-27 . European Journal of Economics, Finance and Administrative Sciences, 12-27. EuroJournals, Inc. ISSUE=43;STARTPAGE=12;ENDPAGE=27;ISSN=1450-2275;TITLE=European Journal of Economics, Finance and Administrative Sciences |
| ISSN: | 1556-5068 1450-2275 |
| DOI: | 10.2139/ssrn.1696946 |
| Popis: | Historically, electricity networks in Europe have been nationally oriented. Electricity markets are public markets and electricity traffic is limited between such markets. One of the imperfections in this case concerns entry into a closed market. When bidders and suppliers are not able to easily enter into a power market or withdraw without any risk or costs, a deviant price-making process may arise. To enable cooperation in the electricity market, the markets of Belgium, France and The Netherlands have been coupled in November 21, 2006. In this research, we focus on the influence of Trilateral Market Coupling on time-varying volatility of day ahead electricity prices in Belgium, France and The Netherlands. The price dependent ARCH results of these three markets indicate that the volatility is affected negatively from one to two days lagged day ahead prices. After the moment of coupling, the volatility of base, peak and offpeak electricity prices in the Netherlands and France declines. The volatility in the peak market declines slightly in the Netherlands while the peak prices volatility in France decrease 20% on average which signals the France declines the risk more in the coupling process. The biggest decline in volatility occurs in Belgium offpeak prices. However in Belgium even significant higher volatility than before the moment of coupling are observed for base and peak prices after the coupling event. |
| Databáze: | OpenAIRE |
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