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Comportamiento Del Precio Y Volatilidad En El Pool Eléctrico Español

Author

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  • Ángel León

    () (Universidad de Alicante)

  • Antonio Rubia

    (Universidad de Alicante)

Abstract

The aim of this paper consists of describing, analysing and modelling the dynamic of dailyprice series and its volatility in the Spanish Wholesale Electricity Market. The article describes themain characteristics of the sector after the deregulation process and the factors that establish thebehaviour of the observed prices, like seasonality in electricity demand, horizontal concentration inpower supply and the so-called competition transition costs. The series analysed is based on theaverage system price that balances supply and demand in the Electricity Daily Market over the periodJanuary 1998 to October 2000. We have obtained evidence of asymmetric conditional volatility aswell as a weekly seasonal non-stationary stochastic pattern in price. The later implies instability and,therefore, the absence of mean reversion in price, which could be due to the continuous changes inelectricity market rules and the poor competitive performance of the electricity pool in the sampleperiod. La finalidad del presente trabajo consiste en describir, analizar y modelizar la dinámica seguida por la serie de precios diarios y la de su volatilidad en el Mercado Diario de electricidad en España. El artículo describe las principales características del sector tras el proceso de liberalización, haciendo hincapié en diversos factores que condicionan la evolución observada del precio, como la estacionalidad de la demanda, la fuerte concentración horizontal del sector o el cobro de los costes de transición a la competencia. La serie analizada toma como referencia el precio medio diario que equilibra oferta y demanda en el mercado diario spot de electricidad desde enero de 1998, comienzo del mercado, hasta finales de 2000. La evidencia obtenida permite concluir la existencia de un patrón estacional semanal estocástico no estacionario en la serie, que se traduce en la inestabilidad del precio, y en la presencia de volatilidad condicional asimétrica. La inestabilidad en el precio podría estar originada por el continuo proceso de cambio normativo y el insuficiente funcionamiento competitivo del reciente mercado durante el periodo analizado.

Suggested Citation

  • Ángel León & Antonio Rubia, 2001. "Comportamiento Del Precio Y Volatilidad En El Pool Eléctrico Español," Working Papers. Serie EC 2001-04, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:2001-04
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    References listed on IDEAS

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    Cited by:

    1. Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
    2. Ángel León & Antonio Rubia, 2002. "Forecasting Time-Varying Covariance Matrices In Intradaily Electricity Spot Prices," Working Papers. Serie AD 2002-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    3. Montes, Germán Martínez & Prados Martín, Enrique & Ordóñez García, Javier, 2007. "The current situation of wind energy in Spain," Renewable and Sustainable Energy Reviews, Elsevier, vol. 11(3), pages 467-481, April.
    4. Sandro Sapio, 2004. "Markets Design, Bidding Rules, and Long Memory in Electricity Prices," Revue d'Économie Industrielle, Programme National Persée, vol. 107(1), pages 151-170.
    5. Eduardo Martínez Chombo, 2005. "Decomposing electricity prices with jumps," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 20(1), pages 27-52.
    6. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
    7. Hernandez Martinez, Fernando, 2007. "Análisis de la concentración en la producción de energía eléctrica tras la liberalización en España del Sector Eléctrico
      [Analysis of concentration in the spanish electricity output after liberalis
      ," MPRA Paper 18047, University Library of Munich, Germany.
    8. Guerci, E. & Ivaldi, S. & Pastore, S. & Cincotti, S., 2005. "Modeling and implementation of an artificial electricity market using agent-based technology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 69-76.

    More about this item

    Keywords

    Sector eléctrico; contraste HEGY; CTCs; raíces unitarias estacionales; GARCH Electric sector; HEGY test; CTCs; seasonal unit roots; GARCH;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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