Heterogeneous price dynamics in US regional electricity markets
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | https://ciencia.iscte-iul.pt/public/pub/id/20479 http://hdl.handle.net/10071/9510 |
Resumo: | The U.S. electricity wholesale market is organized in several deregulated regional markets. This paper compares price dynamics of electricity in the U.S. wholesale markets and shows that electricity prices from the West and East coasts have different regime dynamics. Our methodology suggests that electricity prices are better parameterized by four regimes with different levels of volatility. Additionally, West and East coast markets differ in the time spent in each regime. The extremely high volatility regime describes West coast prices during the California electricity crisis, but East coast prices are also frequent in that regime. We find evidence of synchronization of price dynamics in the mean-reverting and highest volatility regimes, i.e., prices from the East and West coasts tend to be in the same regimes at the same time. |
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Heterogeneous price dynamics in US regional electricity marketsDeregulationElectricity pricesMean-reversion mechanismRegime switching modelsU.S. electricity marketsVolatilityThe U.S. electricity wholesale market is organized in several deregulated regional markets. This paper compares price dynamics of electricity in the U.S. wholesale markets and shows that electricity prices from the West and East coasts have different regime dynamics. Our methodology suggests that electricity prices are better parameterized by four regimes with different levels of volatility. Additionally, West and East coast markets differ in the time spent in each regime. The extremely high volatility regime describes West coast prices during the California electricity crisis, but East coast prices are also frequent in that regime. We find evidence of synchronization of price dynamics in the mean-reverting and highest volatility regimes, i.e., prices from the East and West coasts tend to be in the same regimes at the same time.Elsevier2015-07-31T15:30:52Z2014-01-01T00:00:00Z20142015-07-31T15:29:40Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/public/pub/id/20479http://hdl.handle.net/10071/9510eng0140-9883Dias, J. G.Ramos, S.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T18:02:40Zoai:repositorio.iscte-iul.pt:10071/9510Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:33:53.157433Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Heterogeneous price dynamics in US regional electricity markets |
title |
Heterogeneous price dynamics in US regional electricity markets |
spellingShingle |
Heterogeneous price dynamics in US regional electricity markets Dias, J. G. Deregulation Electricity prices Mean-reversion mechanism Regime switching models U.S. electricity markets Volatility |
title_short |
Heterogeneous price dynamics in US regional electricity markets |
title_full |
Heterogeneous price dynamics in US regional electricity markets |
title_fullStr |
Heterogeneous price dynamics in US regional electricity markets |
title_full_unstemmed |
Heterogeneous price dynamics in US regional electricity markets |
title_sort |
Heterogeneous price dynamics in US regional electricity markets |
author |
Dias, J. G. |
author_facet |
Dias, J. G. Ramos, S. |
author_role |
author |
author2 |
Ramos, S. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Dias, J. G. Ramos, S. |
dc.subject.por.fl_str_mv |
Deregulation Electricity prices Mean-reversion mechanism Regime switching models U.S. electricity markets Volatility |
topic |
Deregulation Electricity prices Mean-reversion mechanism Regime switching models U.S. electricity markets Volatility |
description |
The U.S. electricity wholesale market is organized in several deregulated regional markets. This paper compares price dynamics of electricity in the U.S. wholesale markets and shows that electricity prices from the West and East coasts have different regime dynamics. Our methodology suggests that electricity prices are better parameterized by four regimes with different levels of volatility. Additionally, West and East coast markets differ in the time spent in each regime. The extremely high volatility regime describes West coast prices during the California electricity crisis, but East coast prices are also frequent in that regime. We find evidence of synchronization of price dynamics in the mean-reverting and highest volatility regimes, i.e., prices from the East and West coasts tend to be in the same regimes at the same time. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-01-01T00:00:00Z 2014 2015-07-31T15:30:52Z 2015-07-31T15:29:40Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://ciencia.iscte-iul.pt/public/pub/id/20479 http://hdl.handle.net/10071/9510 |
url |
https://ciencia.iscte-iul.pt/public/pub/id/20479 http://hdl.handle.net/10071/9510 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0140-9883 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799134900838727680 |