  How does dynamic price information flow among Northern European electricity
spot prices and prices of major electricity generation fuel sources? We use
time series models combined with new advances in causal inference to answer
these questions. Applying our methods to weekly Nordic and German electricity
prices, and oil, gas and coal prices, with German wind power and Nordic water
reservoir levels as exogenous variables, we estimate a causal model for the
price dynamics, both for contemporaneous and lagged relationships. In
contemporaneous time, Nordic and German electricity prices are interlinked
through gas prices. In the long run, electricity prices and British gas prices
adjust themselves to establish the equlibrium price level, since oil, coal,
continental gas and EUR/USD are found to be weakly exogenous.
