{"id":399,"date":"2026-06-30T10:52:56","date_gmt":"2026-06-30T10:52:56","guid":{"rendered":"https:\/\/www.journals.utgjiu.ro\/JES\/?post_type=articol&#038;p=399"},"modified":"2026-06-30T10:52:56","modified_gmt":"2026-06-30T10:52:56","slug":"bidirectional-price-discovery-between-romanian-and-central-european-electricity-markets-evidence-from-cointegration-and-vecm-analysis","status":"publish","type":"articol","link":"https:\/\/www.journals.utgjiu.ro\/JES\/articol\/bidirectional-price-discovery-between-romanian-and-central-european-electricity-markets-evidence-from-cointegration-and-vecm-analysis\/","title":{"rendered":"BIDIRECTIONAL PRICE DISCOVERY BETWEEN ROMANIAN AND CENTRAL EUROPEAN ELECTRICITY MARKETS: EVIDENCE FROM COINTEGRATION AND VECM ANALYSIS"},"content":{"rendered":"<p>his paper examines price discovery between the Romanian day-ahead electricity market and five Central European neighbours \u2014 Hungary, Slovenia, Slovakia, Czechia, and Austria \u2014 using 4,101 daily observations from January 2015 to March 2026. We construct an equal-weighted regional price index (INDEX_EU) and apply nine methods: ADF\/KPSS unit root tests, Engle\u2013Granger and Johansen cointegration, bidirectional Granger causality, Toda\u2013Yamamoto Wald tests, VECM speed-of-adjustment analysis, impulse response functions, forecast error variance<br \/>\ndecomposition (FEVD), lead-lag cross-correlation, TAR\/M-TAR asymmetry with bootstrap inference, and Diebold Mariano forecast comparison. Results reveal a robust long-run cointegrating relationship and bidirectional Granger causality indicating Romania actively<br \/>\nparticipates in regional price discovery. The VECM identifies rapid symmetric adjustment.At a 10-day horizon, 29.8% of Romanian price variance is attributable to regional shocks. The Diebold\u2013Mariano test confirms that a bivariate VAR significantly outperforms a univariate AR benchmark , validating the predictive importance of cross-border price linkages.<\/p>\n","protected":false},"featured_media":0,"template":"","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}}},"class_list":["post-399","articol","type-articol","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/www.journals.utgjiu.ro\/JES\/wp-json\/wp\/v2\/articol\/399","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.journals.utgjiu.ro\/JES\/wp-json\/wp\/v2\/articol"}],"about":[{"href":"https:\/\/www.journals.utgjiu.ro\/JES\/wp-json\/wp\/v2\/types\/articol"}],"wp:attachment":[{"href":"https:\/\/www.journals.utgjiu.ro\/JES\/wp-json\/wp\/v2\/media?parent=399"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}