Price Formation in Electricity Markets
Resumo
Two characteristics are a paramount to understand price behaviour in competitive electricity markets: mean reversion and volatility. We have focused our analysis to determine how these characteristics operated in the case of the Spanish wholesale electricity market. We could observe that CCGT play a key role in setting marginal prices as both gas prices and generation present significant price elasticities. In addition, we found that hydropower generation is an important technology to moderate the prices as it is possibly being use as a baseload technology. When analysing volatility aspects, we found that electricity prices exhibit a remarkable structure of time-variant conditional volatility and presented strong weekly seasonality.
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Apontamentos
- Não há apontamentos.
Este trabalho está licenciado sob uma Licença Creative Commons Attribution 3.0 .
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Revista de Finanças Aplicadas
ISSN: 2176-8854
Contador Estatístico
Indexadores e diretórios
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Gale Cengage Learning
Latindex - Sistema Regional de Información en Línea para Revistas Científicas de América Latina, el Caribe, España y Portugal
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