External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis
Dmitriy Afanasyev and
Additional contact information
E. Fedorova: Financial Management Department, Financial University under the Government of the Russian Federation, Moscow, Russia
Journal of the New Economic Association, 2018, vol. 39, issue 3, 33-54
The goal of this study is to identify the causal relationships between the electricity price, its demand and the coal price on different time-scales for three markets: the zone Europe-Ural (EU) and Siberia (SI) of the Russian market ATS, and the English market - APX Power UK. The used methodology - multi-scale adaptive causal analysis - includes empirical mode decomposition and Granger causality test. This allows the drilling from the research on the source data level to a more detailed level of the time-series components. Our results show that such well-known stylized facts, as the impact of demand weekly seasonality to the electricity price and co-directional long-term movement of electricity prices and the primary fuels prices is confirmed for ATS EU and APX markets, while for ATS SI we did not find sufficient evidence of these. In practical terms, this suggests the need to take into account various factors for the construction of electricity price models for forecasting and risk management in these markets.
Keywords: electricity price; pricing mechanism; Granger causality; empirical mode decomposition (search for similar items in EconPapers)
JEL-codes: Q41 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2018:i:39:p:33-54
Access Statistics for this article
Journal of the New Economic Association is currently edited by Victor Polterovich and Aleksandr Rubinshtein
More articles in Journal of the New Economic Association from New Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Alexey Tcharykov ().