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Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices

Author

Listed:
  • Kalantzis, Fotis
  • Sakellaris, Kostis

Abstract

This empirical study assesses the impact of specific regulatory policy measures, adopted in the Greek wholesale electricity market during the period 2004-2011, on the Day-Ahead Market Price. We consider an ARMA-GARCH model extended to include dummies and other exogenous variables that affect market prices, such as RES and Hydro electricity production, as well as load volumes and Brent crude oil prices. In order to analyse the impact of the regulatory reforms on price and volatility dynamics, we include regime dummy variables, reflecting the timeline of these reforms. Based on the results, we discuss the impact of the examined reforms and their significance.

Suggested Citation

  • Kalantzis, Fotis & Sakellaris, Kostis, 2012. "Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices," MPRA Paper 37794, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:37794
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    File URL: https://mpra.ub.uni-muenchen.de/37794/1/MPRA_paper_37794.pdf
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    References listed on IDEAS

    as
    1. Hattori, Toru & Tsutsui, Miki, 2004. "Economic impact of regulatory reforms in the electricity supply industry: a panel data analysis for OECD countries," Energy Policy, Elsevier, vol. 32(6), pages 823-832, April.
    2. Green, Richard J & Joanne Evans, 2003. "Why did British electricity prices fall after 1998?," Royal Economic Society Annual Conference 2003 92, Royal Economic Society.
    3. Mount, Timothy D. & Ning, Yumei & Cai, Xiaobin, 2006. "Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters," Energy Economics, Elsevier, vol. 28(1), pages 62-80, January.
    4. Erdogdu, Erkan, 2011. "The impact of power market reforms on electricity price-cost margins and cross-subsidy levels: A cross country panel data analysis," Energy Policy, Elsevier, vol. 39(3), pages 1080-1092, March.
    5. Vehvilainen, Iivo & Pyykkonen, Tuomas, 2005. "Stochastic factor model for electricity spot price--the case of the Nordic market," Energy Economics, Elsevier, vol. 27(2), pages 351-367, March.
    6. Sakellaris, Kostis, 2009. "The Greek Capacity Adequacy Mechanism: Design, Incentives, Strategic Behavior and Regulatory Remedies," MPRA Paper 24642, University Library of Munich, Germany.
    7. 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.
    8. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, vol. 24(4), pages 764-785.
    9. Petrella, Andrea & Sapio, Alessandro, 2012. "Assessing the impact of forward trading, retail liberalization, and white certificates on the Italian wholesale electricity prices," Energy Policy, Elsevier, vol. 40(C), pages 307-317.
    10. Iliadou, Ekaterini N., 2009. "Electricity sector reform in Greece," Utilities Policy, Elsevier, vol. 17(1), pages 76-87, March.
    11. Theodorou, Petros & Karyampas, Dimitrios, 2008. "Modeling the return and volatility of the Greek electricity marginal system price," Energy Policy, Elsevier, vol. 36(7), pages 2601-2609, July.
    12. Natalia Fabra & Juan Toro, 2003. "The Fall in British Electricity Prices: Market Rules, Market Structure, or Both?," Industrial Organization 0309001, EconWPA.
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    Cited by:

    1. repec:eee:joecas:v:12:y:2015:i:2:p:110-123 is not listed on IDEAS
    2. G. Papaioannou & P. Papaioannou & N. Parliaris, 2014. "Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market," Papers 1401.5452, arXiv.org.
    3. repec:eee:energy:v:142:y:2018:i:c:p:1083-1103 is not listed on IDEAS

    More about this item

    Keywords

    Electricity Market; Greek Wholesale Market; Regulatory Reform; Day-Ahead Price; GARCH;

    JEL classification:

    • L51 - Industrial Organization - - Regulation and Industrial Policy - - - Economics of Regulation
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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