Germany's nuclear power plant closures and the integration of electricity markets in Europe |
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| Affiliation: | 1. St. Andrews Sustainability Institute, School of Geography and Sustainable Development, University of St. Andrews, United Kingdom;2. Department of Geography and Sustainable Development, University of St. Andrews, United Kingdom;3. KONEXUS Consulting Group, Energy Sector Consulting, Hamburg, Germany;4. Chair in Global Energy Law and Sustainability, University of Dundee, United Kingdom;5. School of Political Science and International Studies, Queensland University, Australia;1. Technical University of Denmark, Richard Petersens Plads, Building 322, 2800 Kgs. Lyngby, Denmark;2. Meniga ehf., Kringlan 5, 103 Reykjavik, Iceland;1. Institut de Radioprotection et de Sûreté Nucléaire (IRSN), PSE-SANTE, SESUC, BMCA, 92262, Fontenay-aux-Roses Cedex, France;2. Meteorological Research Institute (MRI), Japan Meteorological Agency (JMA), Tsukuba, Ibaraki, 305-0052, Japan;3. Faculty of Life and Environmental Sciences, University of Tsukuba, Tsukuba, Ibaraki, 305-8577, Japan;4. RIKEN Advanced Institute for Computational Science, Kobe, Hyogo, 650-0047, Japan;5. Phimeca Engineering, 75012, Paris, France;6. Strathom Energie, 75002, Paris, France;1. Institut für Sozialwissenschaften, University of Stuttgart, Germany;2. FASS, University of Technology, Sydney, Australia |
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| Abstract: | 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. |
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| Keywords: | Electricity market integration Energy transition Fractional integration Time-varying correlations Volatility transmission |
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