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Liquidez del mercado a plazo y volatilidad de precios a contado en el mercado de electricidad en España/Liquidity in the Contract Market and Price Volatility in the Spanish Electricity Spot Market

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  • LÓPEZ MILLA, JULIÁN

    () (Departamento de Análisis Económico Aplicado, UNIVERSIDAD DE ALICANTE, ESPAÑA.)

  • RUBIA, ANTONIO

    () (Departamento de Economía Financiera y Contabilidad, UNIVERSIDAD DE ALICANTE, ESPAÑA.)

Abstract

Este trabajo analiza la estabilidad de la varianza de los precios de electricidad en el mercado español durante el periodo 1998-2009, poniendo de manifiesto un declive significativo de variabilidad a partir de 2007. Esta reducción es contemporánea con la implementación de mecanismos de negociación que han contribuido a desarrollar la liquidez de la contratación a plazo en el mercado y que tenían como meta principal mejorar la eficiencia competitiva en la formación de precios. La evidencia en este artículo muestra que este tipo de mejoras de la organización en el mercado podrían tener beneficios adicionales para el consumidor final a través de una mayor estabilidad de precios. In this paper, we analyze the stability of the unconditional variance of the electricity prices of the Spanish Power Pool in the period 1998-2009. We report the existence of a significant reduction that started in 2007 and that can be related to the implementation of different instruments aimed to improve the global liquidity in the market. The evidence shows that this kind of changes in the market organization might have additional benefits for the final consumer across a major price stability.

Suggested Citation

  • López Milla, Julián & Rubia, Antonio, 2011. "Liquidez del mercado a plazo y volatilidad de precios a contado en el mercado de electricidad en España/Liquidity in the Contract Market and Price Volatility in the Spanish Electricity Spot Market," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 575-596, Agosto.
  • Handle: RePEc:lrk:eeaart:29_2_9
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    References listed on IDEAS

    as
    1. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    2. Hughes, John S. & Kao, Jennifer L., 1997. "Strategic forward contracting and observability," International Journal of Industrial Organization, Elsevier, vol. 16(1), pages 121-133, November.
    3. Herguera, Inigo, 2000. "Bilateral contracts and the spot market for electricity: some observations on the British and the NordPool experiences," Utilities Policy, Elsevier, vol. 9(2), pages 73-80, June.
    4. Liski, Matti & Montero, Juan-Pablo, 2006. "Forward trading and collusion in oligopoly," Journal of Economic Theory, Elsevier, vol. 131(1), pages 212-230, November.
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    More about this item

    Keywords

    Estabilidad; contraste cambio estructural; liquidez; mercado eléctrico ; Stability; Contrast of Structural Change; Liquidity; Electricity Market.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms

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