Why do electricity prices jump? Empirical Evidence from the Nordic electricity market
2012 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 34, no 6, 1774-1781 p.Article in journal (Refereed) Published
The paper empirically explores the possible causes behind electricity price jumps in the Nordic electricity market, Nord Pool. A time-series model (a mixed GARCH-EARJI jump model) capturing the common statistical features of electricity prices is used to identify price jumps. By the model, a categorical variable is defined distinguishing no, positive and negative jumps. The causes for the jumps are then explored through the use of ordered probit models in a second stage. The empirical results indicate that the structure of the market plays an important role in whether shocks in the demand and supply for electricity translate into price jumps.
Place, publisher, year, edition, pages
2012. Vol. 34, no 6, 1774-1781 p.
IdentifiersURN: urn:nbn:se:uu:diva-222280DOI: 10.1016/j.eneco.2012.07.006OAI: oai:DiVA.org:uu-222280DiVA: diva2:711156