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Forecasting Italian Electricity Zonal Prices with Exogenous Variables

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  • Angelica Gianfreda

    ()
    (Department of Economics (University of Verona))

  • Luigi Grossi

    ()
    (Department of Economics (University of Verona))

Abstract

In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been deregulated recently. Therefore, this contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration and congestions. We aim to understand how technologies, concentration and congestions affect the zonal prices since these ones combine to bring about the single national price (prezzo unico d’acquisto, PUN). Hence, understanding its features is important for drawing policy indications referred to production planning and selection of generation sources, pricing and risk–hedging problems, monitoring of market power positions and finally to motivate investment strategies in new power plants and grid interconnections. Implementing Reg–ARFIMA–GARCH models, we assess the forecasting performance of selected models showing that they perform better when these factors are considered.

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Bibliographic Info

Paper provided by University of Verona, Department of Economics in its series Working Papers with number 01/2011.

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Length: 33
Date of creation: Jan 2011
Date of revision:
Publication status: Published in submitted to scientific journal on 31 Dec 2010
Handle: RePEc:ver:wpaper:01/2011

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Keywords: Electricity prices; Production technologies; Market power (HHI; RSI); Congestions; Fractional Integration; Forecasting;

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Cited by:
  1. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
  2. Mulder, Machiel & Schoonbeek, Lambert, 2013. "Decomposing changes in competition in the Dutch electricity market through the Residual Supply Index," Research Report 13003-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

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