PRICE CONVERGENCE AND INTEGRATION IN THE GERMANY, FRANCE AND ITALY ELECTRICITY MARKETS
DOI:
https://doi.org/10.15173/esr.v21i1.2530Abstract
This paper examines empirically the electricity market integration process for Germany, France and Italy countries by investigating possible price convergence. Two empirical approaches have been considered to investigate this issue : cointegration analysis and state space model with time varying coefficients during the period 06 July 2009 to 15 April 2011.
Using both methods, empirical results show that the Germany and France markets are highly integrated. For the Germany and Italy, and France and Italy pairs no price convergence has been detected when the cointegration analysis is employed and when using the time varying coefficients model, empiricl results show evidence for weak convergence.
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