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Market Structure and the Stability and Volatility of Electricity Prices

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Author Info
Bask, Mikael () (Department of Economics, Stanford University)
Widerberg, Anna () (Department of Economics, School of Business, Economics and Law, Göteborg University)

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Abstract

By using a novel approach in this paper,(lambda,sigma²)-analysis, we have found that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased. That electricity prices at Nord Pool have been generated by a stochastic dynamic system that most often has become more stable during the step-wise integration of the Nordic power market means that this market is less sensitive to shocks after the integration process than it was before this process. This is good news.

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File URL: http://hdl.handle.net/2077/18659
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Publisher Info
Paper provided by Göteborg University, Department of Economics in its series Working Papers in Economics with number 327.

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Length: 40 pages
Date of creation: 06 Nov 2008
Date of revision:
Handle: RePEc:hhs:gunwpe:0327

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Postal: Department of Economics, School of Business, Economics and Law, Göteborg University Box 640, SE 405 30 GÖTEBORG, Sweden
Phone: 031-773 10 00
Web page: http://www.handels.gu.se/econ/
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Related research
Keywords: Electricity Prices; GARCH Models; Lyapunov Exponents; Market Structure; Reconstructed Dynamics; Stability; Volatility;

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection

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