Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets

In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market we employ econometric models to incorporate the EXAA price and compare them with their counterparts without the price of the Austrian exchange. By employing a forecasting study, we find that electricity price models can be improved when EXAA prices are considered. •We focus on the relationship of the EXAA with other electricity exchanges.•Our idea is based on distinct settlement time points across Europe.•The EXAA price formation is related to the majority of the investigated exchanges.•Early price information can be exploited to improve price forecasts.