Energy isn't interchangeable across the globe. A lot of alternative fuel sources are in remote and underserved locations (Iceland has lots of geothermal); it's economically worthwhile to ship bauxite there, but not worthwhile to build a HVDC circuit to power a plant in downtown London from Icelandic power.
An even more clear example is that natural gas is about 30% the price in the US Midwest as it is in Europe or the rest of the world market. That's the whole point of the Keystone XL pipeline. Even oil has a 20% spread right now between central USA and coastal USA/world.