Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | , |
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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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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