The impact of Australian ETS news on wholesale spot electricity prices : an exploratory analysis
AbstractThis article investigates the impact of news concerning the development of emissions trading in Australia (such as the Carbon Pollution Reduction Scheme (CPRS)) on wholesale electricity spot prices, by using a database of 117 news announcements from December 1, 1998 to July 1, 2009. As power producers constitute the bulk of the participants of the proposed Australian emissions trading scheme, regulatory changes (about allocation, banking, coverage, targets) are indeed likely to affect the five interconnected electricity markets in New South Wales, Queensland, South Australia, Victoria, and Tasmania. We assess these effects with an ARMA(1,1)-GARCH(1,1) model, where daily electricity spot prices are regressed against exogenous variables in the mean and variance equations. This article constitutes the first empirical analysis of Australian ETS news effects on electricity wholesale spot prices. Our results show two asymmetric types of news effects, depending on their information content.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/4219.
Date of creation: Aug 2010
Date of revision:
Publication status: Published in Energy Policy, 2010, Vol. 38, no. 8. pp. 3910-3921.Length: 11 pages
Prix; Electricity spot prices; Carbon Pollution Reduction Scheme; Emissions trading;
Other versions of this item:
- Chevallier, Julien, 2010. "The impact of Australian ETS news on wholesale spot electricity prices: An exploratory analysis," Energy Policy, Elsevier, vol. 38(8), pages 3910-3921, August.
- Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Anderson, Edward J. & Hu, Xinin & Winchester, Donald, 2007. "Forward contracts in electricity markets: The Australian experience," Energy Policy, Elsevier, vol. 35(5), pages 3089-3103, May.
- Gourieroux Christian & Monfort Alain & Trognon A, 1981.
"Pseudo maximum likelihood methods : theory,"
CEPREMAP Working Papers (Couverture Orange)
- Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
- Andrew C. Worthington & Adam Kay-Spratley & Helen Higgs, 2002.
"Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis,"
School of Economics and Finance Discussion Papers and Working Papers Series
114, School of Economics and Finance, Queensland University of Technology.
- Worthington, Andrew & Kay-Spratley, Adam & Higgs, Helen, 2005. "Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis," Energy Economics, Elsevier, vol. 27(2), pages 337-350, March.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Higgs, Helen & Worthington, Andrew, 2008. "Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market," Energy Economics, Elsevier, vol. 30(6), pages 3172-3185, November.
- Eric Zivot & Donald W.K. Andrews, 1990.
"Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Cowles Foundation Discussion Papers
944, Cowles Foundation for Research in Economics, Yale University.
- Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
- Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
- Helen Higgs, 2009. "Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets," Discussion Papers in Economics economics:200904, Griffith University, Department of Accounting, Finance and Economics.
- Higgs, Helen, 2009. "Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets," Energy Economics, Elsevier, vol. 31(5), pages 748-756, September.
- E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexandre Faure).
If references are entirely missing, you can add them using this form.