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External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis

Dmitriy Afanasyev and E. Fedorova
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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

Abstract: 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)
Date: 2018
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Handle: RePEc:nea:journl:y:2018:i:39:p:33-54