Price co-movement and price information diverge across Nordic electricity zones after the energy crisis

My Thi Diem Phan, Tuyen Trung Truong, Hoai Phuong Ha, Dat Thanh Nguyen

After the 2021-2022 energy crisis, day-ahead prices in Nordic bidding zones no longer move together. We ask whether this divergence also changes the information carried by prices. The answer matters for integrating variable renewable energy (VRE), because it can help identify where wind and solar forecasts are worth producing, publishing, and using. We measured the co-movement of each Norwegian and Swedish zone with Germany-Luxembourg (DE-LU) in 2018-2025. We then used a single model, selected on 2024 data, to forecast 2025 prices at 11:00 on the previous day and tested which inputs improved accuracy in each zone. The zones moved alike until 2019, but co-movement diverged in Sweden in 2020 and in Norway in 2021, and the split has persisted. In 2024, four southern zones co-moved strongly with DE-LU (intraday correlations of 0.54-0.71), while four northern zones co-moved weakly (0.25-0.30). Yet price information did not follow this split. Previous-day neighbouring prices reduced mean absolute error by at most 2.2% in any zone, equally in coupled and isolated zones. Removing the transmission system operators' wind and solar forecasts increased mean absolute error by at most 6% in…