Economics at your fingertips  

Fine structure of the price–demand relationship in the electricity market: Multi-scale correlation analysis

Dmitriy Afanasyev, Elena A. Fedorova and Viktor U. Popov

Energy Economics, 2015, vol. 51, issue C, 215-226

Abstract: In this research we investigate the problems of dynamic relationship between electricity price and demand over different time scales for two largest price zones of the Russian wholesale electricity market. We use multi-scale correlation analysis based on a modified method of time-dependent intrinsic correlation and the complete ensemble empirical mode decomposition with adaptive noise for this purpose. Three hypotheses on the type and strength of correlations in the short-, medium- and long-runs were tested. It is shown that price zones significantly differ in internal price–demand correlation structure over the comparable time scales, and not each of the theoretically formulated hypotheses is true for each of them. We can conclude that the answer to the question whether it is necessary to take into account the influence of demand-side on electricity spot prices over different time scales, is significantly dependent on the structure of electricity generation and consumption on the corresponding market.

Keywords: Electricity spot price; Electricity demand; Price–demand correlation; Empirical mode decomposition; Time-dependent intrinsic correlation; Trend estimation (search for similar items in EconPapers)
JEL-codes: C02 C40 C60 C65 L11 L94 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis (2014) Downloads
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:

DOI: 10.1016/j.eneco.2015.07.011

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-09-28
Handle: RePEc:eee:eneeco:v:51:y:2015:i:c:p:215-226