Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices

Fotis Kalantzis and Kostis Sakellaris

MPRA Paper from University Library of Munich, Germany

Abstract: This empirical study assesses the impact of specific regulatory policy measures, adopted in the Greek wholesale electricity market during the period 2004-2011, on the Day-Ahead Market Price. We consider an ARMA-GARCH model extended to include dummies and other exogenous variables that affect market prices, such as RES and Hydro electricity production, as well as load volumes and Brent crude oil prices. In order to analyse the impact of the regulatory reforms on price and volatility dynamics, we include regime dummy variables, reflecting the timeline of these reforms. Based on the results, we discuss the impact of the examined reforms and their significance.

Keywords: Electricity Market; Greek Wholesale Market; Regulatory Reform; Day-Ahead Price; GARCH (search for similar items in EconPapers)
JEL-codes: C01 L51 (search for similar items in EconPapers)
Date: 2012-04-01
New Economics Papers: this item is included in nep-cwa, nep-ene and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37794

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