Why do electricity prices jump? Empirical evidence from the Nordic electricity market

Jörgen Hellström, Jens Lundgren and Haishan Yu

Energy Economics, 2012, vol. 34, issue 6, 1774-1781

Abstract: The paper empirically explores the possible causes behind electricity price jumps in the Nordic electricity market, Nord Pool. A time-series model (a mixed GARCH–EARJI jump model) capturing the common statistical features of electricity prices is used to identify price jumps. By the model, a categorical variable is defined distinguishing no, positive and negative jumps. The causes for the jumps are then explored through the use of ordered probit models in a second stage. The empirical results indicate that the structure of the market plays an important role in whether shocks in the demand and supply for electricity translate into price jumps.

Keywords: Electricity price; Price jumps (search for similar items in EconPapers)
JEL-codes: C22 C51 C58 L10 L69 Q41 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:34:y:2012:i:6:p:1774-1781

DOI: 10.1016/j.eneco.2012.07.006

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