Global S&T Development Trend Analysis Platform of Resources and Environment
DOI | 10.1016/j.enpol.2018.11.020 |
Drivers of electricity price dynamics: Comparative analysis of spot and futures markets | |
Mosquera-Lopez, Stephania1; Nursimulu, Anjali2 | |
2019-03-01 | |
发表期刊 | ENERGY POLICY
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ISSN | 0301-4215 |
EISSN | 1873-6777 |
出版年 | 2019 |
卷号 | 126页码:76-87 |
文章类型 | Article |
语种 | 英语 |
国家 | Colombia; Switzerland |
英文摘要 | Against the backdrop of numerous evidence that variable renewable generation decreases electricity prices and increases price volatility, this paper assesses the drivers of electricity prices in spot and futures markets, focusing on the German electricity markets. We take into account nonlinearities in electricity prices by means of structural breaks and threshold regressions. We find that short-run and medium/long-run price drivers differ and, more importantly, that they vary over time. In the case of the spot market, the determinants of prices are renewable infeed and electricity demand, while in the futures market the main drivers are natural gas, coal and carbon prices. Our results give relevant insights for market participants who seek to optimize procurement/ selling strategies in the spot market, and use the futures market to hedge against spot price volatility, which has increased due to a higher renewable generation. |
英文关键词 | Renewable electricity Spot and futures pricing Merit-order effect Structural breaks Threshold regression |
领域 | 气候变化 |
收录类别 | SCI-E ; SSCI |
WOS记录号 | WOS:000457952000008 |
WOS关键词 | MERIT-ORDER ; RENEWABLE ENERGY ; WIND POWER ; IMPACT ; GENERATION ; WHOLESALE ; SOLAR |
WOS类目 | Economics ; Energy & Fuels ; Environmental Sciences ; Environmental Studies |
WOS研究方向 | Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/18328 |
专题 | 气候变化 |
作者单位 | 1.Univ Valle, Logist & Prod Res Grp, Sch Ind Engn, Calle 13 100-00, Cali, Colombia; 2.Ecole Polytech Fed Lausanne, Stn 5, CH-1015 Lausanne, Switzerland |
推荐引用方式 GB/T 7714 | Mosquera-Lopez, Stephania,Nursimulu, Anjali. Drivers of electricity price dynamics: Comparative analysis of spot and futures markets[J]. ENERGY POLICY,2019,126:76-87. |
APA | Mosquera-Lopez, Stephania,&Nursimulu, Anjali.(2019).Drivers of electricity price dynamics: Comparative analysis of spot and futures markets.ENERGY POLICY,126,76-87. |
MLA | Mosquera-Lopez, Stephania,et al."Drivers of electricity price dynamics: Comparative analysis of spot and futures markets".ENERGY POLICY 126(2019):76-87. |
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