Electricity markets around the world

Klaus Mayer and Stefan Trück
Authors registered in the RePEc Author Service: Stefan Trueck ()

Journal of Commodity Markets, 2018, vol. 9, issue C, 77-100

Abstract: We examine wholesale electricity spot prices around the world. Based on a comprehensive dataset of intraday prices for 28 market regions in 19 countries, we compare the markets with regards to price variation and market structure. In particular, seasonal patterns, volatility, and the occurrence of price spikes are examined and compared with respect to determinants such as market design and production characteristics. We find that regional electricity markets in Australia are characterized by relatively low levels of annual, weekly and intra-daily seasonal patterns, but are by far the most volatile markets in this study. We also conduct a principal component analysis (PCA) based on the identified market characteristics to further investigate the differences between the considered markets. Our results illustrate that more than 80% of the variance in the data can be explained by three principal components, that, based on their loadings can be interpreted as a dispersion factor, a weekly and intra-daily seasonality factor and a factor related to price levels. We also find that electricity markets organized as day-ahead markets exhibit a significantly lower overall price variation compared to markets with real-time trading. These differences exist in a cross-market observation, as well as for markets that feature both trading schemes. Our results provide important information for market participants by classifying the considered markets with respect to associated price and volatility risks.

Keywords: Power prices; Energy markets; Volatility; Market design (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (53)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:9:y:2018:i:c:p:77-100

DOI: 10.1016/j.jcomm.2018.02.001

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