Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression

Detalhes bibliográficos
Autor(a) principal: Moutinho, Victor
Data de Publicação: 2022
Outros Autores: Oliveira, Henrique Viana Espinosa De, Mota, Jorge
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.6/12283
Resumo: The present work aims to quantitatively measure the relationships between the price of energy commodities, coal, gas natural, fuel oil, carbon prices and the price of wholesale electricity in the Iberian Electricity Market, using 2018 daily data. To examine this relationship, we considered both techniques, Markov-Switching Dynamic Regression and Markov-Switching Autoregressive Regression, and proposed two equations with electricity price and coal price as dependent variables. According to the parameters estimated in the model, coal and gas affect the cost of electricity moderately at times in the day that are highly recessive. During the 2018 daily periods analysed, the relative changes in gas and coal prices led to a loss of competitiveness of natural gas, increased by the moderate evolution of carbon prices, and therefore the cost of coal fell sharply in the recent past. The evolution of both time-varying transition probabilities and energy commodities prices variables is informative. The transition probabilities of staying in the same state change throughout our sample of energy commodities and wholesale electricity prices.
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spelling Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching RegressionCO2 pricesCommodities pricesElectricity pricesIberian electricity market (MIBEL)Markov-SwitchingThe present work aims to quantitatively measure the relationships between the price of energy commodities, coal, gas natural, fuel oil, carbon prices and the price of wholesale electricity in the Iberian Electricity Market, using 2018 daily data. To examine this relationship, we considered both techniques, Markov-Switching Dynamic Regression and Markov-Switching Autoregressive Regression, and proposed two equations with electricity price and coal price as dependent variables. According to the parameters estimated in the model, coal and gas affect the cost of electricity moderately at times in the day that are highly recessive. During the 2018 daily periods analysed, the relative changes in gas and coal prices led to a loss of competitiveness of natural gas, increased by the moderate evolution of carbon prices, and therefore the cost of coal fell sharply in the recent past. The evolution of both time-varying transition probabilities and energy commodities prices variables is informative. The transition probabilities of staying in the same state change throughout our sample of energy commodities and wholesale electricity prices.uBibliorumMoutinho, VictorOliveira, Henrique Viana Espinosa DeMota, Jorge2022-07-11T10:28:19Z20222022-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.6/12283engMoutinho, V., Oliveira, H., & Mota, J. (2022). Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression. Energy Reports, 8, 589–594. https://doi.org/10.1016/j.egyr.2022.03.115https://doi.org/10.1016/j.egyr.2022.03.115info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-12-15T09:55:23Zoai:ubibliorum.ubi.pt:10400.6/12283Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:51:55.645596Repositório 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 Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
title Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
spellingShingle Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
Moutinho, Victor
CO2 prices
Commodities prices
Electricity prices
Iberian electricity market (MIBEL)
Markov-Switching
title_short Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
title_full Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
title_fullStr Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
title_full_unstemmed Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
title_sort Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
author Moutinho, Victor
author_facet Moutinho, Victor
Oliveira, Henrique Viana Espinosa De
Mota, Jorge
author_role author
author2 Oliveira, Henrique Viana Espinosa De
Mota, Jorge
author2_role author
author
dc.contributor.none.fl_str_mv uBibliorum
dc.contributor.author.fl_str_mv Moutinho, Victor
Oliveira, Henrique Viana Espinosa De
Mota, Jorge
dc.subject.por.fl_str_mv CO2 prices
Commodities prices
Electricity prices
Iberian electricity market (MIBEL)
Markov-Switching
topic CO2 prices
Commodities prices
Electricity prices
Iberian electricity market (MIBEL)
Markov-Switching
description The present work aims to quantitatively measure the relationships between the price of energy commodities, coal, gas natural, fuel oil, carbon prices and the price of wholesale electricity in the Iberian Electricity Market, using 2018 daily data. To examine this relationship, we considered both techniques, Markov-Switching Dynamic Regression and Markov-Switching Autoregressive Regression, and proposed two equations with electricity price and coal price as dependent variables. According to the parameters estimated in the model, coal and gas affect the cost of electricity moderately at times in the day that are highly recessive. During the 2018 daily periods analysed, the relative changes in gas and coal prices led to a loss of competitiveness of natural gas, increased by the moderate evolution of carbon prices, and therefore the cost of coal fell sharply in the recent past. The evolution of both time-varying transition probabilities and energy commodities prices variables is informative. The transition probabilities of staying in the same state change throughout our sample of energy commodities and wholesale electricity prices.
publishDate 2022
dc.date.none.fl_str_mv 2022-07-11T10:28:19Z
2022
2022-01-01T00:00:00Z
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 http://hdl.handle.net/10400.6/12283
url http://hdl.handle.net/10400.6/12283
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Moutinho, V., Oliveira, H., & Mota, J. (2022). Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression. Energy Reports, 8, 589–594. https://doi.org/10.1016/j.egyr.2022.03.115
https://doi.org/10.1016/j.egyr.2022.03.115
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 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
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