Price and Volatility Spillovers in Australian Electricity Markets PDF Download
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Author: Lin Han
Publisher:
ISBN:
Category : Electricity
Languages : en
Pages : 124
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Book Description
Electricity markets are significantly more volatile than other comparable financial or commodity markets. Extreme price outcomes, typically referred to as price spikes, as well as periods of substantial price volatility and their transmission between interconnected regional markets pose significant risks for market participants.
Author: Lin Han
Publisher:
ISBN:
Category : Electricity
Languages : en
Pages : 124
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Book Description
Electricity markets are significantly more volatile than other comparable financial or commodity markets. Extreme price outcomes, typically referred to as price spikes, as well as periods of substantial price volatility and their transmission between interconnected regional markets pose significant risks for market participants.
Author: Chenyan Lyu
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper investigates price volatility and spillover effects in the Nordic electricity wholesale markets, comprising Sweden, Finland, Denmark, and Norway. Utilizing both the Time-Varying Parameter Vector Autoregressive (TVP-VAR) and Rolling Window-based VAR (RW-VAR) approaches, we analyze the integration dynamics among these regional markets and the impact of carbon prices on volatility spillovers. The study employs a rich dataset of 107,352 hourly prices spanning from January 2010 to March 2022. The novelty of this research is three-fold. Firstly, we adopt a connectedness approach to explore volatility interactions among the four Nordic markets, contributing to the scarce literature on volatility in this market. Secondly, we segment the Norwegian market into southern and northern regions, revealing differences in volatility spillover patterns. Lastly, we investigate the influence of carbon prices on volatility spillovers, shedding light on its role in market dynamics. We find significant connectedness between the Nordic markets, with an average volatility Total Connectedness Index of 52.4% and 50.9%. Sweden emerges as the sole net volatility spillover transmitter, while Denmark experiences the largest shocks from the system. We further find that carbon prices exert a 5% significant impact on the volatility spillover index, as estimated by the 200-days rolling window VAR.
Author: Andrew Worthington
Publisher:
ISBN:
Category : Electric utilities
Languages : en
Pages : 18
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Book Description
Author: Fred Espen Benth
Publisher: World Scientific
ISBN: 981281230X
Category : Business & Economics
Languages : en
Pages : 352
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Book Description
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Author: Helen Higgs
Publisher:
ISBN:
Category : Electric utilities
Languages : en
Pages : 189
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Book Description
Author: Rangga Handika
Publisher:
ISBN:
Category :
Languages : en
Pages : 33
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Book Description
We provide an empirical analysis of the relationship between spot and futures prices in interconnected regional Australian electricity markets. Examining ex-post risk premiums in futures markets, we find positive and significant risk premiums for several of the considered regions. Therefore, electricity futures prices cannot be considered as an unbiased estimator of the average realized spot price during the delivery period. Market participants are willing to pay a significant additional compensation to get rid of the exposure to price shocks and spikes in the spot market. We further demonstrate seasonal effects in the observed premiums as well as strong and positive correlations between the observed risk premiums across the considered markets. Overall, the observed premiums indicate risk aversion of market participants, in the Queensland and Victoria electricity market. We also relate realized premiums to variables such as spot price levels, volatility, skewness and kurtosis prior to the delivery period. Due to the high correlation of the observed premiums across the regions, we apply a seemingly unrelated regression (SUR) approach. We find that in particular spot price levels, but also skewness and kurtosis of spot prices contribute significantly to the explanation of realized risk premiums.
Author: David E. Allen
Publisher:
ISBN:
Category : Australia
Languages : en
Pages :
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Book Description
Author: Xuebing Lu
Publisher:
ISBN:
Category : Bayesian statistical decision theory
Languages : en
Pages : 450
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Book Description
Author: Helen Higgs
Publisher:
ISBN:
Category : Electric utilities
Languages : en
Pages : 15
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Book Description
Author: Derek W. Bunn
Publisher: John Wiley & Sons
ISBN:
Category : Business & Economics
Languages : en
Pages : 368
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Book Description
Electricity markets are structurally different to other commodities, and the real-time dynamic balancing of the electricity network involves many external factors. Because of this, it is not a simple matter to transfer conventional models of financial time series analysis to wholesale electricity prices. The rationale for this compilation of chapters from international authors is, therefore, to provide econometric analysis of wholesale power markets around the world, to give greater understanding of their particular characteristics, and to assess the applicability of various methods of price modelling. Researchers and professionals in this sector will find the book an invaluable guide to the most important state-of-the-art modelling techniques which are converging to define the special approaches necessary for unravelling and forecasting the behaviour of electricity prices. It is a high-quality synthesis of the work of financial engineering, industrial economics and power systems analysis, as they relate to the behaviour of competitive electricity markets.
