Toward a Sustainable Electricity Market: Dynamic Interactions Across Day-Ahead, Intraday, and Balancing Markets in Greece

Round 1

Reviewer 1 Report

Comments and Suggestions for Authors

1.The text adopts a recursive sorting method of DAM - IDM - IP, claiming that it is based on the market temporal structure. However, this ranking may be highly sensitive to the results in empirical studies, especially when IDM and IP have almost simultaneous price responses during specific periods (such as system stress periods). The author did not provide robustness results for other rankings (such as IP -DAM - IDM) or generalized impulse response, nor did they conduct sensitivity analysis for ranking, which weakened the credibility of causal direction.

2.The manuscript contains a large number of charts (such as price time series, correlation matrix, rolling volatility, FEVD table, etc.), but many charts (such as Fig. 3a-3c, Fig. 4, Fig. 5) only show the original data form and do not effectively support the core argument. For example, the rolling correlation chart (Fig. 8) only displays changes in volatility without aligning the timeline with specific events such as energy crises, policy changes, and extreme weather, lacking interpretability. It is suggested to merge or deleting redundant charts to focus on key FEVD and IRF results.

3.The sample period is from 2023 to September 2025, which happens to be the "abnormally high cost period" in Greece where renewable energy accounts for over 57% and IA3 costs skyrocket by 150%. Although the paper mentions these phenomena, it does not discuss whether the sample selection is representative, nor does it conduct cross period robustness tests (such as comparing with 2019-2022). Therefore, the conclusion may only apply to this particular high cost, high fluctuation stage and may not have universality.

4.The text points out that IA3 will experience a significant increase in 2024-2025. However, the structural driving factors of IA3, were not thoroughly analyzed, and these mechanisms were not decomposed through the VECMX model. Please explain it in detail.

 

Author Response

Dear Reviewer,

We would like to sincerely thank you for your careful reading of our manuscript (ID Sustainability 4368231) and for your constructive comments and suggestions. Your observations have been extremely valuable in helping us improve both the methodological rigor and the presentation of the study.

In response to your comments, we have undertaken a comprehensive revision of the manuscript. Most notably, we have expanded the robustness analysis by examining alternative recursive orderings and Generalized Impulse Response Functions (GIRFs), thereby assessing the sensitivity of the price-discovery results to identification assumptions. The corresponding methodological discussion, robustness results, and detailed supporting evidence have been incorporated into the revised manuscript and Appendix C.

We have also revised the presentation of the descriptive figures, removing redundant material and introducing new figures that explicitly link market dynamics to major regulatory and market developments. Additional discussion has been included to improve the interpretation of rolling correlations and volatility patterns.

Furthermore, we have expanded the discussion regarding sample representativeness, clearly stating that the results should be interpreted as characterizing the current phase of Greek Target Model development rather than the entire historical evolution of the Greek electricity market. We have also clarified the role of IA3 and discussed the principal factors underlying its increase during 2024–2025.

We believe that these revisions have significantly strengthened the manuscript and have addressed all concerns raised in your review. We are grateful for your thoughtful comments and for the opportunity to improve our work.

Sincerely,

Author Response File: Author Response.pdf

Reviewer 2 Report

Comments and Suggestions for Authors

The authors present a fairly adequate VECMX methodology in this article, but the research has some aspects that need improvement before publication.

The authors have devoted considerable space to an institutional description, resulting in a lack of conciseness. Section 2 is perhaps too extensive, occupying too many pages with a description of the operation of the Greek market, CRIDA, BM, ISP, PICASSO, MARI, etc. A significant portion of this information is regulatory and already well-known to experts familiar with these types of markets at the national or European level. My recommendation is that the authors make an effort to significantly reduce this section, for example, by moving operational details to an appendix.

On the other hand, although the authors state that this is the first joint DAM-IDM-BM analysis for Greece, the scientific contribution is not entirely distinct from previous studies and analyses of cointegration and price discovery. In this regard, I believe it is necessary to explain more clearly and specifically what new knowledge the work contributes and why the results are relevant beyond the Greek case. The research questions are well-formulated in the article, but it lacks testable hypotheses to facilitate the interpretation of the results and reinforce the methodological rigor employed throughout the research.

There is also a potential problem of endogeneity; that is, the justification for treating some variables as exogenous (especially Equilibrium Activated Energy and mFRR prices) is somewhat weak. A review of the econometric analysis could call into question whether these variables are truly exogenous with respect to the analyzed prices.

It would also be very interesting if the authors could make some kind of comparison with other markets internationally. The study is excessively focused on Greece, and while this is correct and perfectly acceptable, it would be advisable to compare the results with similar evidence from other European countries such as Germany, Italy, Spain, or Nordic markets, so that the authors can discuss whether the pattern found is specific to Greece or generalizable to other European markets.

A large part of the results appears to be focused on IRF, cointegration, and FEVD. However, further analysis could be conducted, examining the economic and regulatory issues and their implications for operators, regulators, aggregators, and the penetration of renewable energy sources. Finally, the authors should also review their spelling and grammar, addressing any typos, incomplete references, and somewhat repetitive phrases.

Comments on the Quality of English Language

The authors present a fairly adequate VECMX methodology in this article, but the research has some aspects that need improvement before publication.

The authors have devoted considerable space to an institutional description, resulting in a lack of conciseness. Section 2 is perhaps too extensive, occupying too many pages with a description of the operation of the Greek market, CRIDA, BM, ISP, PICASSO, MARI, etc. A significant portion of this information is regulatory and already well-known to experts familiar with these types of markets at the national or European level. My recommendation is that the authors make an effort to significantly reduce this section, for example, by moving operational details to an appendix.

On the other hand, although the authors state that this is the first joint DAM-IDM-BM analysis for Greece, the scientific contribution is not entirely distinct from previous studies and analyses of cointegration and price discovery. In this regard, I believe it is necessary to explain more clearly and specifically what new knowledge the work contributes and why the results are relevant beyond the Greek case. The research questions are well-formulated in the article, but it lacks testable hypotheses to facilitate the interpretation of the results and reinforce the methodological rigor employed throughout the research.

There is also a potential problem of endogeneity; that is, the justification for treating some variables as exogenous (especially Equilibrium Activated Energy and mFRR prices) is somewhat weak. A review of the econometric analysis could call into question whether these variables are truly exogenous with respect to the analyzed prices.

It would also be very interesting if the authors could make some kind of comparison with other markets internationally. The study is excessively focused on Greece, and while this is correct and perfectly acceptable, it would be advisable to compare the results with similar evidence from other European countries such as Germany, Italy, Spain, or Nordic markets, so that the authors can discuss whether the pattern found is specific to Greece or generalizable to other European markets.

A large part of the results appears to be focused on IRF, cointegration, and FEVD. However, further analysis could be conducted, examining the economic and regulatory issues and their implications for operators, regulators, aggregators, and the penetration of renewable energy sources. Finally, the authors should also review their spelling and grammar, addressing any typos, incomplete references, and somewhat repetitive phrases.

Author Response

Dear Reviewer,

We would like to express our sincere appreciation for your thorough evaluation of our manuscript (ID sustainability 4368231) and for the constructive recommendations you provided.

Following your suggestions, we have substantially revised the manuscript. Section 2 has been streamlined and several institutional and operational details have been condensed or transferred to the Appendix in order to improve conciseness and focus. We have also strengthened the presentation of the paper's scientific contribution by explicitly highlighting the novel aspects of the study and clarifying its relevance within the broader context of European Target Model electricity markets.

In response to your methodological recommendations, we have introduced a new “Research Hypotheses” subsection in the Introduction, presenting four explicit hypotheses that guide the empirical analysis. We have also expanded the discussion of exogenous variables and conducted additional robustness checks regarding the model specification.

To address your suggestion concerning international relevance, we have added a new discussion comparing the Greek results qualitatively with evidence reported for other European electricity markets. While a full cross-country econometric analysis would constitute a separate research project, this comparison helps place the findings within a broader European context.

Finally, we have substantially expanded the discussion of policy, regulatory, and sustainability implications, including implications for regulators, system operators, aggregators, balancing-market efficiency, renewable energy integration, system flexibility, resilience, and European decarbonization objectives. The manuscript has also undergone a comprehensive language and style revision.

We are grateful for your insightful comments, which have helped us improve the quality, clarity, and policy relevance of the paper.

Sincerely,

Author Response File: Author Response.pdf