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Comportamiento Del Precio Y Volatilidad En El Pool Eléctrico Español

Listed author(s):
  • Ángel León


    (Universidad de Alicante)

  • Antonio Rubia

    (Universidad de Alicante)

Registered author(s):

    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.

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    File Function: Fisrt version / Primera version, 2001
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    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2001-04.

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    Length: 51 pages
    Date of creation: Mar 2001
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2001-04
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