Search results for "electricity market"
showing 10 items of 49 documents
The macroeconomic effects of electricity-sector privatization
2021
Abstract We examine the macroeconomic effects of privatizing the ownership structure of the electricity market, using a novel indicator of privatization which covers 90 advanced, emerging market, and developing economies, since 1974. Privatization reforms, on average, improve outcomes in the provision of electricity and have positive macroeconomic effects: output and employment increase in the years following electricity-sector privatization reforms. Reforms are also associated also with an increase in income inequality, but the effects are small, on average. These impacts vary according to the business cycle, quality of institutions, and a country's development status, with macroeconomic a…
Market efficiency and price discovery relationships between spot, futures and forward prices: the case of the Iberian Electricity Market (MIBEL)
2016
ABSTRACTThis paper analyses the relationships between prices from three different markets within the Spanish zone of the Iberian Electricity Market (MIBEL), namely futures, spot and over the counter (OTC) forward markets. The study focuses on three items: (i) contrasting the Weak-form efficiency hypothesis of the markets involved in the study, (ii) analysing the Semi-strong-form efficient market hypothesis (EMH) of the MIBEL futures market and (iii) examining the price discovery relationships between the series of prices of the considered markets.The empirical results confirm that 1-month-, 1-quarter-, 1-year-ahead futures and spot markets satisfy, generally, the Weak-form efficiency hypoth…
Liquidity and dirty hedging in the Nordic electricity market
2012
Abstract Hedging involves tradeoffs in incomplete markets because the number of hedging instruments is limited. Even when an extensive set of hedging instruments is available, the ease with which these instruments can be traded may be highly variable. This study finds systematic variations in liquidity in different segments of the Nordic electricity swap market and analyzes the potential for replacing low-liquidity, delivery-period-matched hedging instruments with more liquid, delivery-period-mismatched hedging instruments. When the costs of implementing such dirty hedging strategies are lower than those of the replaced hedging instruments and the loss of hedge effectiveness is small, dirty…
Modeling Term Structure Dynamics in the Nordic Electricity Swap Market
2010
We analyze the daily returns of Nordic electricity swaps and identify significant risk premia in the short end of the market. On average, long positions in this part of the swap market yield negative returns. The daily returns are distinctively non-normal in terms of tail-fatness, but we find little evidence of asymmetry. We investigate if the flexible four-parameter class of normal inverse Gaussian (NIG) distributions can capture the observed stylized facts and find that this class of distributions offers a remarkably improved fit relative to the normal distribution. We also compare the fit with that of the four-parameter class of stable distributions; the NIG law outperforms the stable la…
Temperature and seasonality influences on Spanish electricity load
2002
Abstract Deregulation of the Spanish electricity market in 1998 and the possible listing of electricity or weather derivative contracts have encouraged the study of the relationship between electricity demand and weather in Spain. In this paper, a transfer function intervention model is developed for forecasting daily electricity load from cooling and heating degree–days. The influence of weather and seasonality is proved, and is significant even when the autoregressive effects and the dynamic specification of the temperature are taken into account. The estimated general model shows a high predictive power. The results and information presented in this paper could be of interest for current…
Forecasting Weekly Electricity Prices at Nord Pool
2007
This paper analyses the forecasting power of weekly futures prices at Nord Pool. The forecasting power of futures prices is compared to an ARIMAX model of the spot price. The time series model contains lagged external variables such as: temperature, precipitation, reservoir levels and the basis (futures price less the spot price); and generally reflects the typical seasonal patterns in weekly spot prices. Results show that the time series model forecasts significantly beat futures prices when using the Diebold and Mariano (1995) test. Furthermore, the average forecasting error of futures prices reveals that they are significantly above the settlement spot price at the ‘delivery week’ and th…
Deregulated Electric Energy Price Forecasting in NordPool Market using Regression Techniques
2019
Deregulated electricity market day-ahead electrical energy price forecasting is important. It is influenced by external parameters and it is a complicated function. In this work two neighboring regions in the NordPool market are analyzed to provide day-ahead electrical price forecasting using regression techniques. The characteristics of the NordPool market trading behavior leads to unanticipated price peaks at daily, weekly and annual level. The considered two Nordic regions have different energy generation sources (e.g Norway has controllable hydro power, Denmark has non-controllable wind-power) therefore day-ahead electrical energy price forecasting in deregulated market for these two ne…
Energy Storage by using HVDC Power Cables
2018
The development of HVDC (high voltage direct current) systems closely follow the growth of global energy requirements. In particular, HVDC cables are conveniently used for the interconnection of geographical areas which need a low environmental impact and/or when submarines interconnections have to be built up. The paper investigates the stored energy value in an HVDC cable during its normal duty and if it is possible to take advantage of this energy when the cable is disconnected for some reason. In particular, the idea is to store the cable energy, which would be dissipated uselessly, by using a dedicated system and then reuse it when favorable conditions hold, e.g a convenient economic s…
A Compensation Based Method to Model PV Nodes in Backward/Forward Distribution Network Analysis
2007
PurposeThis paper proposes to identify a new model of the fixed voltage nodes (PV nodes) for medium voltage distribution systems analysis. The model is used within backward/forward (b/f) analysis method applied to solve radial and weakly meshed systems.Design/methodology/approachThe model is based on the compensation currents method for multi‐port systems which has been extensively used, within b/f analysis methods, to take into account the presence of meshes and PV nodes.FindingsTest results prove the approach to be more efficient and precise than previous methodologies and put into evidence the good performance of the proposed model in terms of speed and convergence properties.Research li…
Multi-step ahead electricity price forecasting using a hybrid model based on two-layer decomposition technique and BP neural network optimized by fir…
2017
In the deregulated competitive electricity market, the price which reflects the relationship between electricity supply and demand is one of the most important elements, making it crucial for all market participants to precisely forecast the electricity price. However, electricity price series usually has complex features such as non-linearity, non-stationarity and volatility, which makes the price forecasting turn out to be very difficult. In order to improve the accuracy of electricity price forecasting, this paper first proposes a two-layer decomposition technique and then develops a hybrid model based on fast ensemble empirical mode decomposition (FEEMD), variational mode decomposition …