Three-regimes threshold error correction models and the law of one price: the case of European Electricity Markets
19.11.2009
19.11.2009
12:00 - 13:00
Milan
Fondazione Eni Enrico Mattei
Corso Magenta 63
20123 Milan
h. 12.00 Seminar
h 13.00 Light Lunch
Margherita Grasso, Università Commerciale Luigi Bocconi
Francesca Polatti, francesca.polatti@feem.it
In this paper TVECMs are applied to examine the integration of European Electricity Markets. The relationships among EEX, Powernext and Omel spot and forward prices are assessed allowing for the possibility that the convergence in prices may not always be operational. Indeed, interdependences may occur only when the spread in prices between two markets is larger than transaction costs and diferences in the perceived risks. As a main result, allowing for non-linear adjustment dynamics improves the accuracy of the model.
Attachments
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Three-regimes threshold error correction models and the law of one price: the case of European Electricity Markets
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