Houllier, M. (2014). Integration of Liberalised European Electricity Markets. (Unpublished Doctoral thesis, City University London)
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The aim of this thesis is to assess the integration of European electricity markets. An integrated market could help to improve security of supply, foster competition, and may also help to integrate renewables. After reviewing the literature and describing the context, three studies are reported as separate chapters, which besides the common underlying theme use novel econometric and statistical methodology for time series analysis.
Chapter two examines electricity market integration in nine European spot markets between 2000 and 2013, and four forward markets between 2007 and 2012. In contrast to most previous studies, this study proposes that electricity price processes are time-varying, and assesses the potential impacts of special events. Spot prices are found to be fractionally integrated and mean-reverting processes whose parameters are time-dependent and associated with electricity market coupling initiatives or changes in interconnector capacity. Forward prices, in contrast, do not revert to the mean, and in general show more stable common long-run associations than electricity spot prices.
Chapter three investigates the association between electricity market integration, fuel and carbon price developments during base and peak load hours from December 2005 to October 2013 for France, Nordpool and the UK. The local electricity mix and interconnection with adjacent markets are found to be associated with common price dynamics between electricity markets, as well as with electricity fuel and carbon prices.
Chapter four studies the possible implications of Germany’s Nuclear Phase Out Act on the integration of EU’s electricity market. In 2011, Germany’s secure generating capacity decreased significantly after eight nuclear power plants were closed within a period of six months. The short-run interrelationships of electricity spot prices, from November 2009 to October 2012, with wind introduced by the German system, are modelled using multivariate generalised autoregressive conditional heteroscedasticity (MGARCH) models with dynamic correlations. In addition, a time-varying fractional cointegration analysis is conducted to identify any change in mean reversion and convergence of electricity spot prices. The results suggest unintended consequences from the policy: in the one-year period after the closures, the German market decoupled from the other markets and price volatility transmission increased.
|Item Type:||Thesis (Doctoral)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Cass Business School|
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