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Are Daily and Weekly Load and Spot Price Dynamics in Australia's National Electricity Market Governed by Episodic Nonlinearity?

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Abstract

In this article, we use half hourly spot electricity prices and load data for the National Electricity Market (NEM) of Australia for the period from December 1998 to February 2008 to test for episodic nonlinearity in the dynamics governing daily and weekly cycles in load and spot price time series data. We apply the portmanteau correlation, bicorrelation and tricorrelation tests introduced in Hinich (1996) to the time series of half hourly spot prices and load demand from 7/12/1998 to 29/02/2008 using a FORTRAN 95 program. We find the presence of significant third and fourth order (non-linear) serial dependence in the weekly load and spot price data in particular, but to a much more marginal extent, in the daily data.

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  • Phillip Wild & Melvin J. Hinich & John Foster, 2008. "Are Daily and Weekly Load and Spot Price Dynamics in Australia's National Electricity Market Governed by Episodic Nonlinearity?," Discussion Papers Series 368, School of Economics, University of Queensland, Australia.
    • Handle: RePEc:qld:uq2004:368
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    Cited by:

    1. Joseph Mullins & Liam Wagner & John Foster, 2010. "Price Spikes in Electricity Markets: A Strategic Perspective," Energy Economics and Management Group Working Papers 05, School of Economics, University of Queensland, Australia.
    2. Rabindra Nepal and John Foster, 2016. "Testing for Market Integration in the Australian National Electricity Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
    3. Rahman, Sajjadur & Serletis, Apostolos, 2010. "The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach," Energy Economics, Elsevier, vol. 32(6), pages 1460-1466, November.

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