Modelling Spot Prices in Deregulated Wholesale Electricity Markets: A Selected Empirical Review

29 Pages Posted: 29 Oct 2008

See all articles by Helen Higgs

Helen Higgs

Queensland University of Technology - School of Economics and Finance

Andrew C. Worthington

Griffith University

Date Written: October 28, 2008

Abstract

The restructuring and deregulation of global electricity markets has brought about fundamental changes in the behaviour of wholesale spot prices. In turn, this has fostered a small but increasing volume of literature aimed at modelling and providing best-practice forecasts of electricity prices and price volatility, often employing very high-frequency data. The purpose of this article is to review the various time-series regression modelling approaches as they apply to competitive electricity markets throughout the world. Apart from discussing the strengths and weaknesses of the different approaches, the paper also examines the steps faced by researchers as they progressively move through the modelling process. The key findings of the studies are also discussed. Accordingly, the article provides guidance to those conducting empirical research on electricity prices and also as an aid for policymakers, managers and practitioners interpreting research outcomes.

Keywords: wholesale electricity prices, high-frequency data, price volatility

JEL Classification: C22, C51

Suggested Citation

Higgs, Helen and Worthington, Andrew C., Modelling Spot Prices in Deregulated Wholesale Electricity Markets: A Selected Empirical Review (October 28, 2008). Available at SSRN: https://ssrn.com/abstract=1290909 or http://dx.doi.org/10.2139/ssrn.1290909

Helen Higgs

Queensland University of Technology - School of Economics and Finance ( email )

GPO Box 2434
2 George Street
Brisbane, Queensland 4001
Australia
61 7 3864 4252 (Phone)
61 7 3864 1500 (Fax)

Andrew C. Worthington (Contact Author)

Griffith University ( email )

170 Kessels Road
Nathan, Queensland 4111
Australia
+61 (0)7 3735 4273 (Phone)
+61 (0)7 3735 3719 (Fax)

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
314
Abstract Views
2,044
Rank
176,750
PlumX Metrics