IDEAS home Printed from https://ideas.repec.org/a/aen/journl/ej40-si1-thomaidis.html
   My bibliography  Save this article

Common Unobserved Determinants of Intraday Electricity Prices

Author

Listed:
  • Nikolaos S. Thomaidis
  • Gordon H. Dash
  • Nina Kajiji

Abstract

This paper employs multilevel factor modelling techniques to unravel systematicunobserved determinants of the intraday and interzonal price curve dynamics forthe Pennsylvania-New Jersey-Maryland (PJM) interconnection. These techniquesmake an explicit separation of global drivers from region-specific common factors, thereby facilitating the identification of the actual sources of co-variability.Our empirical findings confirm the hypothesis that the common unobserved determinants of power prices in the PJM interconnection obey a block structure, someof which affect different segments of our panel. We argue that a multilevel factorapproach offers a more systematic and transparent representation of intertemporal and cross-sectional patterns in PJM electricity prices compared to alternativebrute-force VARMAX parametrizations and the single-level factor models, whichare often put forward in the literature as viable modelling alternatives.

Suggested Citation

  • Nikolaos S. Thomaidis & Gordon H. Dash & Nina Kajiji, 2019. "Common Unobserved Determinants of Intraday Electricity Prices," The Energy Journal, International Association for Energy Economics, vol. 0(The New E).
    • Handle: RePEc:aen:journl:ej40-si1-thomaidis
    as

    Download full text from publisher

    File URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=3309
    Download Restriction: Access to full text is restricted to IAEE members and subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    JEL classification:

    • F0 - International Economics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aen:journl:ej40-si1-thomaidis. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: David Williams (email available below). General contact details of provider: https://edirc.repec.org/data/iaeeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.