A stochastic fuel switching model for electricity prices
Georg Zachmann ()
Energy Economics, 2013, vol. 35, issue C, 5-13
This paper develops and applies a novel electricity price model. We reproduce the merit order of a thermal-dominated electricity system by establishing a non-linear dependency of wholesale electricity prices on the prices of fuels (coal and natural gas) and of CO2 emission allowances. The coefficients are estimated using a Markov Switching Regression.
Keywords: Electricity prices; Markov switching models (search for similar items in EconPapers)
JEL-codes: L94 C22 D43 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:35:y:2013:i:c:p:5-13
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