کشف قیمت در بازارهای تجدید ساختارشده‌ی برق

We empirically investigate the degree of integration that existed prior to the cost increases that caused emergency conditions in the Western Systems Coordinating Council (WSCC), particularly California, during the summer of 2000. Evidence from Granger causality tests and common features analysis over the period from December 1994 to September 1999 indicates a moderate degree of integration among these markets. However, price effects throughout the region were often only unidirectional, did not exhibit the characteristics of perfect substitutability, and were significantly influenced by institutional changes in the California market. Most importantly, our research suggests that these markets were not as highly integrated as earlier research had indicated.

During the 1990s the U.S. electricity industry was restructured in an effort to promote competition. Given the network characteristics of electricity transmission, the industry had been regulated both at the state and federal levels prior to restructuring. In an effort to encourage competitive markets, Congress passed the Energy Policy Act of 1992, mandating open access to the transmission system for wholesale power. This was followed by the Federal Energy Regulatory Commission (FERC) Order 888, which provides rules concerning non-discriminatory, open access transmission operations and tariffs for wholesale power. It requires vertically integrated utilities to offer access for wheeling wholesale power at a single tariff rate comparable to what they would charge to themselves. As a result a number of states developed or instituted restructuring plans for their electricity systems. The most notable of these restructuring plans was developed and implemented in California. An independent system operator (ISO) was set up to control transmission flow, and a spot market for wholesale power exchange, the California PX, was eventually implemented in 1998. Because California is a net importer of electric power, restructuring in that state required that the wholesale markets in surrounding states also deregulate. The Western Systems Coordinating Council (WSCC) fulfilled this condition for deregulation in the nation's largest state. However, the California wholesale electricity market has often been dysfunctional since the completion of its restructuring in 1998, suffering from extremely high and volatile prices for sustained periods. Speculations abound for California's troubles, but predominant among them are (1) reliance on spot market transactions required by the initial market design and the concomitant inability of load serving entities to engage in forward contracting; (2) local market power of some suppliers due to transmission constraints; and (3) a lack of retail price signals reflecting changing cost conditions in electricity supply. The current paper focuses on the first two issues. Specifically, we empirically investigate the degree of market integration that existed prior to the cost increases that caused emergency conditions in the summer of 2000. Our results indicate a moderate degree of integration among these markets. However, price effects throughout the region were often only unidirectional (especially among off-peak prices), did not exhibit characteristics associated with perfect substitutability among markets, and were significantly influenced by institutional changes in the California market that encouraged the use of short-term spot market transactions as opposed to more stable long-term contracts. Most importantly, our research suggests that these markets were not as highly integrated as earlier research had indicated.

Although, contrary to De Vany and Walls (1999), the current study finds that spot prices for peak and off-peak hours in eleven markets in the WSCC region were stationary, our results confirm that these markets exhibited a moderate degree of integration for the period December 1994–September 1999, especially prior to the March 1998 creation of the California ISO's power exchange (PX). Granger causality tests show that out of 110 possible market pairs, only one pair each for peak and off-peak prices, respectively, fails to demonstrate at least unidirectional Granger causality. Furthermore, long-run correlation (co-movement) can be identified among all possible pairs for peak and off-peak prices. On the other hand, off-peak prices demonstrate nine cases, and peak prices two cases, of only unidirectional Granger causality, and very few market pairs (five) exhibit the strong form of long-run integration that indicates perfect substitutability. Finally, evidence from the post-PX period (April 1998–September 1999) appears to show “disintegration” among many market pairs. Overall, the results of this empirical study do not show clear evidence of competitive efficiency among spot markets for electricity in the WSCC region prior to the California price spikes of 2000. The establishment of the California ISO's PX apparently decreased the level of price integration among many of the various market pairs. There may have been a lack of arbitrage due to transmission constraints among regions within the WSCC, and this may have been exacerbated by collusive practices. Further research is necessary to identify the nature of these constraints before truly competitive integration of these markets can occur.