دانلود مقاله ISI انگلیسی شماره 19744
عنوان فارسی مقاله

ساختار بازار و ثبات و نوسانات قیمت برق

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
19744 2009 11 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Market structure and the stability and volatility of electricity prices
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Energy Economics, Volume 31, Issue 2, March 2009, Pages 278–288

کلمات کلیدی
قیمت برق - مدل های - شارحان لیاپانوف - ساختار بازار - پویایی بازسازی - ثبات - نوسانات
پیش نمایش مقاله
پیش نمایش مقاله ساختار بازار و ثبات و نوسانات قیمت برق

چکیده انگلیسی

By using a novel approach in this paper, (λ,σ2)-analysis, we have found that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased. That electricity prices at Nord Pool have been generated by a stochastic dynamic system that most often has become more stable during the step-wise integration of the Nordic power market means that this market is less sensitive to shocks after the integration process than it was before this process. This is good news.

مقدمه انگلیسی

During the 1990s, the Nordic countries have gone through an extensive deregulation of their electricity sectors and, at the same time, there has been an evolution from national markets to a multi-national electricity market. Thus, Denmark, Finland, Norway and Sweden have all reformed their electricity sectors and have today access to a common electricity market, which consists of two parts: (i) bilateral trade of contracts between operators; and (ii) the non-mandatory power exchange, Nord Pool. The step-wise integration of the Nordic power market gives the opportunity to investigate several interesting questions that relate to the relationship between market structure and the behavior of electricity prices. First, because the aim of the deregulation and integration of the electricity sectors was to develop a competitive power market, which would benefit the consumers in the Nordic countries, one might ask whether the degree of competition has increased over time during this process? Bask et al. (2008) examine this question and also find that this, in fact, is the case. What about the behavior of electricity prices? Has the increased competition at the Nordic power market affected the volatility of electricity prices in a systematic way? This issue is under scrutiny in this paper and using a data set that is similar to the one in Bask et al. (2008), we find that the volatility of electricity prices most often has decreased when the Nordic power market has expanded and the degree of competition has increased (see also Lundgren et al. (2008)). This finding is also consistent with the prediction of McLaren (1999) who presents an oligopoly model for a storable commodity such as water, which to a large extent is used in electricity generation in the Nord Pool area. The main contribution in this paper is that we take a step further trying to figure out the reason for this change in volatility of electricity prices. Of course, the natural candidate is that the dynamics that govern the evolution of electricity prices have changed, but it could also be the case that the nature of the shocks hitting the Nordic power market has changed. A problem, however, is that we do not know the dynamics that govern the evolution of electricity prices, but as will be clear below (especially in Section 3), this problem is only apparent since we can reconstruct the dynamics using only electricity prices and, thereafter, measure the stability of the reconstructed dynamics. Concretely, what we do in this paper is to present (λ,σ2)-analysis, which is a method to contrast the stability of a stochastic dynamic system (λ) with the volatility of a variable generated by this system (σ2). Thus, if we focus on the development of Nord Pool, the method contrasts the stability of the dynamics that govern the evolution of electricity prices with the volatility of these prices. What we find is that the dynamic system generating electricity prices most often has increased in stability during the step-wise integration of the Nordic power market. There are two dimensions of the findings in this paper. The first is theoretical. To the extent that approximating models of the energy sector are developed in an attempt to understand the behavior of energy prices and how they depend on the market structure, the stability of the dynamics that govern the evolution of energy prices should be added as an important dimension in which model and data should be matched. That is, our finding that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased should be properties of a well-formulated model of the Nordic power market. The second dimension is welfare. That electricity prices at Nord Pool most often have become more stable during the integration process means that the Nordic power market is less sensitive to shocks after this process than it was before it. This, however, does not mean that electricity prices never can change a lot from one day to the other, but it does mean that such large movements in prices are expected to happen less frequently. This is good news. This is how the rest of this paper is organized: In Section 2, we first review the literature on the relationship between market structure and the price volatility for a storable commodity. Thereafter, we argue at an intuitive level why (λ,σ2)-analysis is useful as a tool to contrast the stability of a stochastic dynamic system with the volatility of a variable generated by this system. In Section 3, we formally outline (λ,σ2)-analysis and, in Section 4, we use this tool to investigate how the step-wise integration of the Nordic power market has affected the stability and volatility of electricity prices. Section 5 concludes the paper with a discussion.

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