Assessing the relationship between electricity and natural gas prices in European markets in times of distress
We investigate the transmission of natural gas shocks to electricity prices under different scenarios of electricity generation for 21 European markets, from January 1, 2015 to March 11, 2022, proposing indicators of market vulnerability based on the quantile slopes of the regressions of electricity...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2022 |
| País: | España |
| Institución: | Universitat Oberta de Catalunya (UOC) |
| Repositorio: | O2, repositorio institucional de la UOC |
| OAI Identifier: | oai:openaccess.uoc.edu:10609/146985 |
| Acceso en línea: | https://hdl.handle.net/10609/146985 https://doi.org/10.1016/j.enpol.2022.113018 |
| Access Level: | acceso abierto |
| Palabra clave: | energy crises energy shortages power–gas integration energy security natural gas disruption tail risks market design crisis energéticas escasez de energía integración energía-gas seguridad energética interrupción del gas natural crisi energetica escassetat d'energia integració energia-gas seguritat energetica interrupció del gas natural energy consumption energia--Consum energía--consumo |
| Sumario: | We investigate the transmission of natural gas shocks to electricity prices under different scenarios of electricity generation for 21 European markets, from January 1, 2015 to March 11, 2022, proposing indicators of market vulnerability based on the quantile slopes of the regressions of electricity on natural gas and the distance between the transmission effects at very high and low quantiles of the electricity price distribution. We determine that the level of market integration is the main factor underlying national differentiation. Denmark, Finland, Sweden, and Germany are the most vulnerable markets to natural gas price shocks under distress. Our results highlight a source of vulnerability that only emerges during market distress scenarios for countries with a small, but non-zero, proportion of natural gas in domestic generation mixes under marginal cost-based electricity pricing. Further market integration is proposed to increase resilience in European electricity markets, based on a different set of regressions. |
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