On the Dynamics of Spot Power Prices across Western Europe in Pandemic Times
dc.contributor.author | Abadie, Luis María | |
dc.contributor.author | Chamorro Gómez, José Manuel ![]() | |
dc.date.accessioned | 2024-07-30T10:24:16Z | |
dc.date.available | 2024-07-30T10:24:16Z | |
dc.date.issued | 2024-07-11 | |
dc.identifier.citation | Energies 17(14) : (2024) // Article ID 3420 | es_ES |
dc.identifier.issn | 1996-1073 | |
dc.identifier.uri | http://hdl.handle.net/10810/69086 | |
dc.description.abstract | Learning the dynamics of power prices in a given market is important for a number of players (e.g., producers, consumers, and policy makers) at both macro- and microeconomic levels. This paper analyzes the recent behavior of spot prices in eight Western European countries. The sample period coincides with the COVID-19 pandemic for the most part: it starts in April 2020 and runs until May 2023; it includes the start of the Russia–Ukraine war. We introduce a new model for the hourly spot price of electricity. The deterministic component includes yearly, weekly, and daily seasonalities; the stochastic component accounts for volatility, mean reversion, and discrete jumps. We estimate the model with publicly available hourly data. Regarding the development of the internal market for electricity, we find that core mainland power markets now move closer in step with one another than before, but the integration process of the Iberian Peninsula seems to have kicked into reverse. As for the dynamics of power prices, in the last part of the sample period the speed of reversion falls everywhere, and price volatility increases noticeably; the expected number of jumps per hour decreases, but their average size turns to positive and they become more volatile. | es_ES |
dc.description.sponsorship | The authors gratefully acknowledge support from the Basque Government (IT1777-22−Environmental and Resources Economics Policy Group) and the Low Carbon Programme. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | MDPI | es_ES |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/es/ | |
dc.subject | spot power price | es_ES |
dc.subject | COVID-19 pandemic | es_ES |
dc.subject | seasonality | es_ES |
dc.subject | mean reversion | es_ES |
dc.subject | volatility | es_ES |
dc.subject | discrete jumps | es_ES |
dc.title | On the Dynamics of Spot Power Prices across Western Europe in Pandemic Times | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.date.updated | 2024-07-26T12:29:40Z | |
dc.rights.holder | © 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/ 4.0/). | es_ES |
dc.relation.publisherversion | https://www.mdpi.com/1996-1073/17/14/3420 | es_ES |
dc.identifier.doi | 10.3390/en17143420 | |
dc.departamentoes | Economía financiera II | |
dc.departamentoeu | Finantza ekonomia II |
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Except where otherwise noted, this item's license is described as © 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/ 4.0/).