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External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis

Author

Listed:
  • Afanasyev, D.

    (Joint-Stock Company "Greenatom", Moscow, Russia)

  • Fedorova, E.

    (Financial Management Department, Financial University under the Government of the Russian Federation, Moscow, Russia
    Finance Department of the National Research University - Higher School of Economics, Moscow, Russia)

Abstract

The goal of this study is to identify the causal relationships between the electricity price, its demand and the coal price on different time-scales for three markets: the zone Europe-Ural (EU) and Siberia (SI) of the Russian market ATS, and the English market - APX Power UK. The used methodology - multi-scale adaptive causal analysis - includes empirical mode decomposition and Granger causality test. This allows the drilling from the research on the source data level to a more detailed level of the time-series components. Our results show that such well-known stylized facts, as the impact of demand weekly seasonality to the electricity price and co-directional long-term movement of electricity prices and the primary fuels prices is confirmed for ATS EU and APX markets, while for ATS SI we did not find sufficient evidence of these. In practical terms, this suggests the need to take into account various factors for the construction of electricity price models for forecasting and risk management in these markets.

Suggested Citation

  • Afanasyev, D. & Fedorova, E., 2018. "External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis," Journal of the New Economic Association, New Economic Association, vol. 39(3), pages 33-54.
    • Handle: RePEc:nea:journl:y:2018:i:39:p:33-54
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    electricity price; pricing mechanism; Granger causality; empirical mode decomposition;
    All these keywords.

    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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