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Market Structure and the Stability and Volatility of Electricity Prices

  • Bask, Mikael

    ()

    (Department of Economics, Stanford University)

  • Widerberg, Anna

    ()

    (Department of Economics, School of Business, Economics and Law, Göteborg University)

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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Paper provided by University of Gothenburg, 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
Contact details of provider: Postal: Department of Economics, School of Business, Economics and Law, University of Gothenburg, Box 640, SE 405 30 GÖTEBORG, Sweden
Phone: 031-773 10 00
Web page: http://www.handels.gu.se/econ/

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  7. Mikael Bask & Jens Lundgren & Niklas Rudholm, 2009. "Market power in the expanding Nordic power market," Applied Economics, Taylor & Francis Journals, vol. 43(9), pages 1035-1043.
  8. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
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  16. Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007. "The stability of electricity prices: Estimation and inference of the Lyapunov exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 565-572.
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  18. repec:cup:cbooks:9780521326162 is not listed on IDEAS
  19. Bask Mikael & de Luna Xavier, 2002. "Characterizing the Degree of Stability of Non-linear Dynamic Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-19, April.
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