The impact of market coupling on Hungarian and Romanian electricity markets: Evidence from the regime-switching model

Vika Koban

Energy & Environment, 2017, vol. 28, issue 5-6, 621-638

Abstract: This paper investigates the impact of market coupling on (1) electricity prices of Hungarian and Romanian markets and (2) the influence of renewable generation on price regimes by employing the Markov regime-switching model with time-varying transition probabilities. The study provides the evidence of the changes in regimes since market coupling. The results show that the persistence and occurrences of Hungarian price drops are significantly increased. Meanwhile, Romanian prices exhibit less and shorter living price jumps. Considering time-varying transition probabilities as functions of wind power production in Romania, the study also reveals that market coupling changed the influence of wind power production on the regime-switching mechanism of electricity prices.

Keywords: Market coupling; electricity price; Markov regime-switching model; time-varying transition probabilities; wind power production (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:engenv:v:28:y:2017:i:5-6:p:621-638

DOI: 10.1177/0958305X17714152

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