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Germany’s Nuclear Power Plant Closures and the Integration of Electricity Markets in Europe

de Menezes, L. M. & Houllier, M. (2015). Germany’s Nuclear Power Plant Closures and the Integration of Electricity Markets in Europe. Energy Policy, 85(Oct), pp. 357-368. doi: 10.1016/j.enpol.2015.05.023


This paper examines the potential implications of national policies that lead to a sudden increase of wind power in the electricity mix for interconnected European electricity markets. More specifically, it examines market integration before and after the closures of eight nuclear power plants that occurred within a period of a few months in Germany during 2011. The short- and- long run interrelationships of daily electricity spot prices, from November 2009 to October 2012, in: APX-ENDEX, BELPEX, EPEX-DE, EPEX-FR, NORDPOOL, OMEL and SWISSIX; and wind power in the German system are analysed. Two MGARCH (Multivariate Generalized Autoregressive Conditional Heteroscedasticity) models with dynamic correlations are used to assess spot market behaviour in the short run, and a fractional cointegration analysis is conducted to investigate changes in the long-run behaviour of electricity spot prices. Results show: positive time-varying correlations between spot prices in markets with substantial shared interconnector capacity; a negative association between wind power penetration in Germany and electricity spot prices in the German and neighbouring markets; and, for most markets, a decreasing speed in mean reversion.

Publication Type: Article
Additional Information: © 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Publisher Keywords: electricity market integration, energy transition, fractional integration, timevarying correlations, volatility transmission
Subjects: H Social Sciences > HD Industries. Land use. Labor
Departments: Bayes Business School > Management
SWORD Depositor:
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