Energy Resources’ Seasonal/daily Dependencies under Coupled Operation of Day-Ahead Markets

ABSTRACT Studies on the benefits of electricity markets integration are scarce. With particular attention to the Romanian day-ahead electricity market (DAM), we analyze electricity prices’ seasonality and volatility and observe whether changes occurred after the 4 M Market Coupling project implementation. The focus lies on assessing the seasonal and cyclical components of DAM prices and coal/wind-based electricity generation. We address the changes in time series’ models that occurred after the DAM coupling and determine stationary models for those time series. The Dickey–Fuller test, augmented with qualitative variables assigned to seasons, days of the week, and legal holidays is our proposed method. Market integration could not prevent price spikes. The post-coupling period is characterized by smaller differences between peak and off-peak prices. This might indicate a positive effect (ceteris paribus) of market coupling on reducing price volatility. Most price models show complex dependencies on seasons, days, and dummies.