Co-Movement Analysis of Italian and Greek Electricity Market Wholesale Prices by Using a Wavelet Approach
Abstract
:1. Introduction
EU Target Model and the Greece—Italy Cross-Border Trade History—Methodology Analysis via Wavelet Transform
2. Wavelet and Interconnector Utilization Analysis
3. Greece (GR)-Italy (IT) cross Border Trade History—Empirical Results
- From 2010 until the end of 2011 and 2013, Italy remained an export destination for Greece, for the most of the months.
- In the second quarter of 2010 an outage due to the fault of the submarine cable had reduced exports to zero level.
- From April 1st 2011 the auctioning for Transmission Capacity Rights (TCR) is done by Capacity Allocation Service Company S.A. (CASC S.A.), located in Luxemburg. As a result, for the Greece-Italy interconnector, monthly auctions were taken place during the first three months of 2011, while correspondingly the daily auctions were more reduced. A product of 250 MW however was auctioned, on which the transmission capacity for 2011 was based.
- 2012 is a year that imports are increased to the 1/3 of exports and trade is conducted and not influenced by cable faults.
- In 2013 after August the fault of the submarine cable had reduced its capacity to the level of 200 MW. At the end of the year an increase in imports was observed as prices where increased after a regulatory change.
- The largest average price in the transmission rights auctions for 2011 was observed in Greece-Italy interconnector (5.06 €/MWh), reflecting the relatively high price that was attained in the annual auction taking place in Italy that year.
- After the transfer of the auctioning of the TCR, for the Greece-Italy interconnector and taking into account the fall in the average price of auctions in the rest of interconnections, the total volume of transactions in the primary market of TCR (which were under the management of HTSO—the former TSO, before ADMIE S.A.) were reduced by almost 1/3, to €25.2 million.
- During 2010 the interconnection with Italy was the highest with 47% of the total transactions volume in the Greek primary market, even though for 3/4 of the same year there were no daily auctions for TCR, mainly due to a relatively high price set by the annual auction.
Year | Daily Imports of Greece (from Italy) MWh | Daily Exports of Greece (to Italy) MWh | ||||||
---|---|---|---|---|---|---|---|---|
Mean | Max | Min | Annual Total | Mean | Max | Min | Annual Total | |
2005 | 29.86 | 500 | 0 | 261,575 | 82.06 | 500 | 0 | 718,863 |
2006 | 56.30 | 452 | 0 | 493,211 | 114.23 | 496 | 0 | 1,000,736 |
2007 | 132.6 | 530 | 0 | 1,162,128 | 22.8 | 500 | 0 | 199,963 |
2008 | 215 | 680 | 0 | 1,887,151 | 34 | 645 | 0 | 298,110 |
2009 | 66.3 | 754 | 0 | 582,276 | 283 | 685 | 0 | 2,488,230 |
2010 | 37 | 674 | 0 | 325,007 | 299 | 645 | 0 | 2,621,359 |
2011 | 54.4 | 595 | 0 | 476,285 | 250 | 550 | 0 | 2,193,250 |
2012 | 94.4 | 819 | 0 | 827,309 | 359 | 590 | 0 | 3,148,949 |
2013 | 33.71 | 685 | 0 | 295,872 | 241 | 534 | 0 | 2,113,110 |
2005–2013 | 80 | 819 | 0 | 6,310,817 (or 6310 GWh) | 187 | 685 | 0 | 14,782,074 (or 14,782 GWh) |
3.1. Data Description
- (1)
- the Wholesale Energy and Ancillary Services Market;
- (2)
- the Capacity Assurance Mechanism.
- (1)
- The Day-ahead Scheduling (DAS);
- (2)
- The Dispatch Scheduling (DS);
- (3)
- The Real time dispatch (RTD);
- (4)
- Imbalances settlement (IS).
- ◾
- The Spot Electricity Market (MPE) which includes:
- The Day-Ahead Market (MGP), where all market participants (producers, wholesalers, consumers) can sell/purchase electricity for the next day
- The Intra-Day Market where the initial schedules can be modified by the market participants
- The Ancillary Services Market (MSD), which consists of the ex-ante MSD and of the Balancing Market (MB)
- ◾
- The Forward Electricity Market (MTE), where market participants can sell/purchase future electricity supplies
- ◾
- The platform for physical delivery of financial contracts concluded on IDEX (CDE). IDEX is the segment of the financial derivatives market operated by Borsa Italiana S.p.A where the electricity financial derivatives are traded.
ITALY | GREECE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Year | PUN (€/MWh) | Total volumes (GWh) | Liquidity (%) 1 | Participants (31 December) | SMP (€/MWh) | Total Volumes (GWh) 2 | Participants (31 December) 3 | ||||
average | min | max | average | min | max | ||||||
2004 | 51.6 | 1.1 | 189.19 | 231.572 | 29.1 | 73 | 28.21 | 14.32 | 48.77 | 51721 | 8 |
2005 | 58.59 | 10.42 | 170.61 | 323.185 | 62.8 | 91 | 38.82 | 18.25 | 120 | 53400 | 13 |
2006 | 74.75 | 15.06 | 378.47 | 329.790 | 59.6 | 103 | 62.32 | 23.81 | 86.58 | 54207 | 10 |
2007 | 70.99 | 21.44 | 242.42 | 329.949 | 67.1 | 127 | 62.62 | 28.89 | 90.78 | 55253 | 17 |
2008 | 86.99 | 21.54 | 211.99 | 336.961 | 69 | 151 | 82.27 | 29.6 | 138 | 55675 | 19 |
2009 | 63.72 | 9.07 | 172.25 | 313.425 | 68 | 167 | 43.36 | 0 | 96.5 | 52436 | 30 |
2010 | 64.12 | 10 | 174.62 | 318.562 | 62.6 | 198 | 45.66 | 0 | 98.3 | 52365 | 38 |
2011 | 72.23 | 10 | 164.8 | 311.494 | 57.9 | 181 | 59.36 | 0 | 150 | 51872 | 37 |
2012 | 75.48 | 12.14 | 324.2 | 298.669 | 59.8 | 192 | 56.45 | 0 | 150 | 50558 | 33 |
2013 | 62.99 | 0 | 151.88 | 289.154 | 71.6 | 214 | 41.48 | 0 | 97 | 50717 | 28 |
PUN | GREC | Imports | Exports | SMP | |
---|---|---|---|---|---|
PUN | 1 | 0.809 (0.000) | −0.084 (0.000) | −0.009 (0.000) | 0.583 (0.000) |
GREC | 0.809 (0.000) | 1 | −0.047 (0.000) | 0.021 (0.000) | 0.484 (0.000) |
Imports | −0.084 (0.000) | −0.047 (0.000) | 1 | −0.280 (0.000) | 0.208 (0.000) |
Exports | −0.009 (0.000) | 0.021 (0.000) | −0.280 (0.000) | 1 | −0.237 (0.000) |
SMP | 0.583 (0.000) | 0.484 (0.000) | 0.208 (0.000) | −0.237 (0.000) | 1 |
3.2. Evidence from the Wavelet Coherence
Price Difference GREG-SMP | ITALY’s NET Exports Exports-Imports | |
---|---|---|
Wrong Flow | Right Flow | |
+ (>0) | + (>0) | − (<0) |
− (<0) | − (<0) | + (>0) |
Arrow Direction | ← | → |
3.3. Evidence from Dynamic Correlation and Coherence Analysis
4. Conclusions
Acknowledgments
Author Contributions
Conflicts of Interest
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Papaioannou, G.P.; Dikaiakos, C.; Evangelidis, G.; Papaioannou, P.G.; Georgiadis, D.S. Co-Movement Analysis of Italian and Greek Electricity Market Wholesale Prices by Using a Wavelet Approach. Energies 2015, 8, 11770-11799. https://doi.org/10.3390/en81011770
Papaioannou GP, Dikaiakos C, Evangelidis G, Papaioannou PG, Georgiadis DS. Co-Movement Analysis of Italian and Greek Electricity Market Wholesale Prices by Using a Wavelet Approach. Energies. 2015; 8(10):11770-11799. https://doi.org/10.3390/en81011770
Chicago/Turabian StylePapaioannou, George P., Christos Dikaiakos, George Evangelidis, Panagiotis G. Papaioannou, and Dionysios S. Georgiadis. 2015. "Co-Movement Analysis of Italian and Greek Electricity Market Wholesale Prices by Using a Wavelet Approach" Energies 8, no. 10: 11770-11799. https://doi.org/10.3390/en81011770