Common Unobserved Determinants of Intraday Electricity Prices

Nikolaos S. Thomaidis, Gordon H. Dash and Nina Kajiji

The Energy Journal, 2019, vol. Volume 40, issue The New Era of Energy Transition

Abstract: This paper employs multilevel factor modelling techniques to unravel systematicunobserved determinants of the intraday and interzonal price curve dynamics forthe Pennsylvania-New Jersey-Maryland (PJM) interconnection. These techniquesmake an explicit separation of global drivers from region-specific common factors, thereby facilitating the identification of the actual sources of co-variability.Our empirical findings confirm the hypothesis that the common unobserved determinants of power prices in the PJM interconnection obey a block structure, someof which affect different segments of our panel. We argue that a multilevel factorapproach offers a more systematic and transparent representation of intertemporal and cross-sectional patterns in PJM electricity prices compared to alternativebrute-force VARMAX parametrizations and the single-level factor models, whichare often put forward in the literature as viable modelling alternatives.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.iaee.org/en/publications/ejarticle.aspx?id=3309 (text/html)
Access to full text is restricted to IAEE members and subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aen:journl:ej40-si1-thomaidis

Ordering information: This journal article can be ordered from
http://www.iaee.org/en/publications/ejsearch.aspx

Access Statistics for this article

More articles in The Energy Journal from International Association for Energy Economics Contact information at EDIRC.
Bibliographic data for series maintained by David Williams ().