A stochastic fuel switching model for electricity prices

Georg Zachmann

Energy Economics, 2013, vol. 35, issue C, 5-13

Abstract: 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: C22 D43 L94 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:35:y:2013:i:c:p:5-13

DOI: 10.1016/j.eneco.2012.06.019

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