 Understanding the Determinants of Electricity Prices and the Impact of the German Nuclear Moratorium in 2011No 2011-6, EWI Working Papers from Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI) Abstract: This paper shows how the effect of fuel prices varies with the level of electricity demand. It analyzes the relationship between daily prices of electricity, natural gas and carbon emission allowances with a vector error correction model and a semiparametric varying smooth coef- ficient model. The results indicate that the electricity price adapts to fuel price changes in a long-term cointegration relationship. Different electricity generation technologies have distinct fuel price dependencies, which allows estimating the structure of the power plant portfolio by exploiting market prices. The semiparametric model indicates a technology switch from coal to gas at roughly 85% of maximum demand. It is used to analyze the market impact of the nuclear moratorium by the German Government in March 2011. Futures prices show that the market efficiently accounts for the suspended capacity and expects that several nuclear plants will not be switched on after the moratorium. Keywords: Electricity Market; Merit Order; Cointegration; Varying Coefficient; Nuclear Moratorium (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ris:ewikln:2011_006 Access Statistics for this paper More papers in EWI Working Papers from Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI) Contact information at EDIRC. |
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