Impact of Solar and Wind Prices on the Integrated Global Electricity Spot and Options Markets: A Time Series Analysis

Yasir Alsaedi, Gurudeo Anand Tularam and Victor Wong
Additional contact information
Yasir Alsaedi: Department of Mathematics, Umm Al-Qura University, Makkah, Saudi Arabia,
Gurudeo Anand Tularam: Environmental Futures Research Institute and School of Environment and Science, Griffith University, Australia,
Victor Wong: Department of Accounting, Finance and Economics, Griffith University, Australia.

International Journal of Energy Economics and Policy, 2020, vol. 10, issue 2, 337-353

Abstract: Following the liberalisation of the global electricity markets, spot and options markets have been established in many countries. Electricity pricing issues, coupled with increased concern regarding global warming and the greenhouse effect, represent the driving factors behind electricity price movements. Australia, Germany, the United States (US) and other countries worldwide have increasingly shifted their focus away from fossil fuels and towards energy generated from renewable sources, including solar and wind power. This paper examines the behaviour of the Australian, German and US electricity markets in terms of the impact of solar and wind pricing on the electricity spot and options markets for the period January 2006 to March 2018. Using a vector autoregression analysis, we examine both the direction of influence and the influence absorption through Granger causality testing, the impulse response function and forecast error variance decompositions. Our findings indicate that the electricity markets in Australia, Germany and the US are interdependent and related with regards to solar and wind price changes, meaning that the investigated electricity markets are influenced by movements in other electricity markets. The findings of this study are important for investors, energy analysts, government organisations and policymakers.

Keywords: Electricity pricing; Renewable energy; VAR model. (search for similar items in EconPapers)
JEL-codes: C32 Q41 Q42 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.econjournals.com/index.php/ijeep/article/download/8939/4902 (application/pdf)
https://www.econjournals.com/index.php/ijeep/article/view/8939/4902 (text/html)

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:eco:journ2:2020-02-40

Access Statistics for this article

International Journal of Energy Economics and Policy is currently edited by Ilhan Ozturk

More articles in International Journal of Energy Economics and Policy from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().