Dynamická síťová analýza spotových cen elektřiny v kontinentální Evropě

Novotná, Tereza

This thesis investigates how the structure of spot electricity price relationships across Continental Europe evolved between 2016 and 2023, with a particular focus on the energy crisis that culminated in 2022 following the Russian inva- sion of Ukraine. Using a dataset of hourly day-ahead prices from 31 European bidding zones, three dynamic empirical methods are applied, i.e., Dynamic Principal Component Analysis, Time-Varying Granger-Causal Networks, and a Dynamic Factor Model. The results suggest that the crisis period demon- strated an increase in price synchronization and overall interconnectedness, accompanied by changes in the direction and strength of inter-regional influ- ences. These shifts were not purely temporary, with several effects persisting in the post-crisis period. The findings indicate that the crisis was not only a shock to price levels but also to the underlying structural dynamics of the Eu- ropean electricity market. The study contributes to the existing literature by proposing a time-varying, network-based view of electricity market integration under systemic stress, highlighting its relevance for both academic research and market monitoring. JEL Classification C32, L94, Q41, Keywords electricity markets, network analysis, energy crisis, dynamic principal component...

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