Modelling Spot Prices in Deregulated Wholesale Electricity Markets: A Selected Empirical Review
29 Pages Posted: 29 Oct 2008
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: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Understanding Electricity Price Volatility within and Across Markets
By Mika Goto and George Andrew Karolyi
-
Short-Term Electricity Futures Prices: Evidence on the Time-Varying Risk Premium
By Julio J. Lucia and Hipòlit Torró
-
High Frequency Electricity Spot Price Dynamics: An Intra-Day Markets Approach
By Graeme Guthrie and Steen Videbeck
-
Risk and Reward at the Speed of Light: A New Electricity Price Model
By Samuel E. Bodily and Michel Del Buono
-
The Risk Premium and the Esscher Transform in Power Markets
By Fred Espen Benth and Carlo Sgarra
-
Modelling Higher Moments of Electricity Prices
By Gregorio Serna and Pablo Villaplana