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dc.contributor.authorZachmann, Georgen
dc.date.accessioned2009-01-28T15:41:05Z-
dc.date.available2009-01-28T15:41:05Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/18363-
dc.description.abstractThis study tests the hypothesis that the ongoing restructuring process in the European electricity sector, as well as market participants? adaptation to the new legal framework, have caused electricity wholesale day-ahead prices to converge towards arbitrage freeness. Using hourly cross-border capacity auction results at the Dutch-German and at the Danish-German border for the years 2002 to 2004, and the respective spot prices, we estimate a time-varying coefficient model based on the law of one price (LOP). The results of these estimations are used to calculate the speed of convergence towards the LOP. While the German - Dutch prices and the German - West Danish prices are clearly developing towards arbitrage freeness, the German and East Danish prices do not exhibit significant convergence.en
dc.language.isoengen
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen
dc.relation.ispartofseries|aDIW Discussion Papers |x512en
dc.subject.jelL94en
dc.subject.jelG1en
dc.subject.jelC5en
dc.subject.ddc330en
dc.subject.keywordElectricity Pricesen
dc.subject.keywordEuropean Integrationen
dc.subject.keywordTime Series Analysisen
dc.titleConvergence of Electricity Wholesale Prices in Europe? A Kalman Filter Approach-
dc.typeWorking Paperen
dc.identifier.ppn499715179en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:diw:diwwpp:dp512en

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