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A stochastic fuel switching model for electricity prices

Listed author(s):
  • Zachmann, Georg

This paper develops and applies a novel electricity price model. We reproduce the merit order of a thermal-dominated electricity system by establishing a non-linear dependency of wholesale electricity prices on the prices of fuels (coal and natural gas) and of CO2 emission allowances. The coefficients are estimated using a Markov Switching Regression.

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File URL: http://www.sciencedirect.com/science/article/pii/S0140988312001284
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Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 35 (2013)
Issue (Month): C ()
Pages: 5-13

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Handle: RePEc:eee:eneeco:v:35:y:2013:i:c:p:5-13
DOI: 10.1016/j.eneco.2012.06.019
Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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  1. Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
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  15. repec:spr:compst:v:69:y:2009:i:3:p:457-473 is not listed on IDEAS
  16. Haldrup Niels & Nielsen Morten Ø., 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
  17. 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.
  18. Alberola, Emilie & Chevallier, Julien & Cheze, Benoi^t, 2008. "Price drivers and structural breaks in European carbon prices 2005-2007," Energy Policy, Elsevier, vol. 36(2), pages 787-797, February.
  19. Redl, Christian & Haas, Reinhard & Huber, Claus & Böhm, Bernhard, 2009. "Price formation in electricity forward markets and the relevance of systematic forecast errors," Energy Economics, Elsevier, vol. 31(3), pages 356-364, May.
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  22. Kosater, Peter & Mosler, Karl, 2006. "Can Markov regime-switching models improve power-price forecasts? Evidence from German daily power prices," Applied Energy, Elsevier, vol. 83(9), pages 943-958, September.
  23. Bunn, Derek W. & Gianfreda, Angelica, 2010. "Integration and shock transmissions across European electricity forward markets," Energy Economics, Elsevier, vol. 32(2), pages 278-291, March.
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  25. Sims, Ralph E. H. & Rogner, Hans-Holger & Gregory, Ken, 2003. "Carbon emission and mitigation cost comparisons between fossil fuel, nuclear and renewable energy resources for electricity generation," Energy Policy, Elsevier, vol. 31(13), pages 1315-1326, October.
  26. repec:dau:papers:123456789/6791 is not listed on IDEAS
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