European Electricity Market : Interdependencies between European prices, Impact of derivatives trading on the volatility of the physical market and Effect of recent reforms.

Summary This thesis studies the European electricity market. The first topic focuses on the interdependencies of electricity prices in the main European markets to assess the effectiveness of the reforms introduced by the European Commission to create a single electricity market. We use multivariate statistical methods (vector autoregressive model and Granger causality test). The second topic concerns the impact of the introduction of the derivatives market on the volatility of spot market prices through an econometric study with the GARCH model. The objective is to examine the stabilizing or destabilizing effect of derivatives on the volatility of electricity prices. Finally, the third topic analyzes the potential effects of the evolution of regulatory reforms on prices and security of supply as well as the interactions between the UK and EU reforms.