Wholesale electricity price volatility and price bounds: a market comparison
Autor(a) principal: | |
---|---|
Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/22255 |
Resumo: | Due to high volatility and frequent price spikes in wholesale electricity market prices, market regulators often impose price bounds on auction and final market prices. This paper applies a model-free intraday-range measure and ARMA-EGARCH(1,1) models to wholesale electricity price data collected from seven markets in the United States and Europe to measure and compare volatilities across the seven markets and the effects of exogenous amendments to price bounds in a subsample of three markets. The paper concludes that the wider a market’s imposed price bounds, the higher the price volatility. Conclusions also suggest that exogenous price bound changes have more significant effects in markets with tighter imposed bounds and that changes made to locational marginal price bounds have greater effects on price behavior than do changes made to energy offer price bounds. Conclusions add to emerging research about the effects of price bounds on electricity price volatility and are relevant for policy makers and market participants concerned with price volatility. |
id |
RCAP_61afb7ee531d9c2a7c37e727d36fb2cf |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/22255 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Wholesale electricity price volatility and price bounds: a market comparisonWholesale electricity marketPrice volatilityIntraday rangePrice boundsDomínio/Área Científica::Ciências Sociais::Economia e GestãoDue to high volatility and frequent price spikes in wholesale electricity market prices, market regulators often impose price bounds on auction and final market prices. This paper applies a model-free intraday-range measure and ARMA-EGARCH(1,1) models to wholesale electricity price data collected from seven markets in the United States and Europe to measure and compare volatilities across the seven markets and the effects of exogenous amendments to price bounds in a subsample of three markets. The paper concludes that the wider a market’s imposed price bounds, the higher the price volatility. Conclusions also suggest that exogenous price bound changes have more significant effects in markets with tighter imposed bounds and that changes made to locational marginal price bounds have greater effects on price behavior than do changes made to energy offer price bounds. Conclusions add to emerging research about the effects of price bounds on electricity price volatility and are relevant for policy makers and market participants concerned with price volatility.Pereira, João PedroRodrigues, Paulo Manuel MarquesRUNTroy IV, William2018-01-20T01:30:23Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/pdfhttp://hdl.handle.net/10362/22255TID:201716640enginfo: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:RCAAP2024-03-11T04:09:43Zoai:run.unl.pt:10362/22255Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:27:13.120063Repositório 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 |
Wholesale electricity price volatility and price bounds: a market comparison |
title |
Wholesale electricity price volatility and price bounds: a market comparison |
spellingShingle |
Wholesale electricity price volatility and price bounds: a market comparison Troy IV, William Wholesale electricity market Price volatility Intraday range Price bounds Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Wholesale electricity price volatility and price bounds: a market comparison |
title_full |
Wholesale electricity price volatility and price bounds: a market comparison |
title_fullStr |
Wholesale electricity price volatility and price bounds: a market comparison |
title_full_unstemmed |
Wholesale electricity price volatility and price bounds: a market comparison |
title_sort |
Wholesale electricity price volatility and price bounds: a market comparison |
author |
Troy IV, William |
author_facet |
Troy IV, William |
author_role |
author |
dc.contributor.none.fl_str_mv |
Pereira, João Pedro Rodrigues, Paulo Manuel Marques RUN |
dc.contributor.author.fl_str_mv |
Troy IV, William |
dc.subject.por.fl_str_mv |
Wholesale electricity market Price volatility Intraday range Price bounds Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Wholesale electricity market Price volatility Intraday range Price bounds Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Due to high volatility and frequent price spikes in wholesale electricity market prices, market regulators often impose price bounds on auction and final market prices. This paper applies a model-free intraday-range measure and ARMA-EGARCH(1,1) models to wholesale electricity price data collected from seven markets in the United States and Europe to measure and compare volatilities across the seven markets and the effects of exogenous amendments to price bounds in a subsample of three markets. The paper concludes that the wider a market’s imposed price bounds, the higher the price volatility. Conclusions also suggest that exogenous price bound changes have more significant effects in markets with tighter imposed bounds and that changes made to locational marginal price bounds have greater effects on price behavior than do changes made to energy offer price bounds. Conclusions add to emerging research about the effects of price bounds on electricity price volatility and are relevant for policy makers and market participants concerned with price volatility. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-01-20 2017-01-20T00:00:00Z 2018-01-20T01:30:23Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/22255 TID:201716640 |
url |
http://hdl.handle.net/10362/22255 |
identifier_str_mv |
TID:201716640 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
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 |
|
_version_ |
1799137901129236480 |