Please use this identifier to cite or link to this item: http://hdl.handle.net/10609/146985
Title: Assessing the relationship between electricity and natural gas prices in European markets in times of distress
Author: Uribe, Jorge M.  
Mosquera Sandoval, Stephania  
Arenas, Oscar  
Others: Universitat Oberta de Catalunya (UOC)
Keywords: energy crises
energy shortages
power–gas integration
energy security
natural gas disruption
tail risks
market design
Issue Date: 2-Jul-2022
Publisher: Energy Policy
Published in: 166
Also see: https://doi.org/10.1016/j.enpol.2022.113018
Abstract: 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.
Language: English
URI: http://hdl.handle.net/10609/146985
ISSN: 0301-4215MIAR
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