On stationarity of energy prices quoted on the Polish Power Exchange and Polish adjustment market in the year 2008

Rafał M. Łochowski
Additional contact information
Rafał M. Łochowski: Szkoła Główna Handlowa w Warszawie

Collegium of Economic Analysis Annals, 2010, issue 22, 223-233

Abstract: In this paper we analyzed the series of the spot prices quoted on the power exchange (PPX) and adjustment market in Poland in the year 2008. This research was stimulated by the observed rapid and considerable changes of the electricity prices (bigger than 20%) on both PPX and adjustment market, which were connected with the regulations concerning changes in emissions policy and emissions limits granted to Poland by the European Commission. These changes took place in summer 2008, at the time when the emissions limits were granted to specific branches of national economy. We investigated the stationarity of the energy prices (aggregated on the daily level) on PPX and adjustment market in the year 2008. We used DF (augmented Dickey-Fuller) test as a test for stationarity with lag order equal 7. The need of using ADF test with high lag order equal 7 is due to high correlati on between energy consumption in consecutive days of the week. The hypotheses of stationarity of both series (PPX prices series and adjustment market prices series), truncated at the end of April 2008 are accepted, while hypotheses of stationarity of both series for longer periods are rejected. We also investigated the existence of long–run cointegration relationship between PPX and adjustment market prices through VECM model (vector error correction model). We used Johansen test for stationarity for two periods- January 10 – May 31and January 10– August 31. The test did not reject the hypothesis about the cointegration relationship between series of the PPX prices and adjustment market prices in both periods. However, we observed big change of the the cointegrating vector for the analyzed periods.

Keywords: power exchange; adjustment market; spot prices; stationarity; cointegration (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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: https://EconPapers.repec.org/RePEc:sgh:annals:i:22:y:2010:p:223-233

Access Statistics for this article

Collegium of Economic Analysis Annals is currently edited by Joanna Plebaniak, Beata Czarnacka-Chrobot

More articles in Collegium of Economic Analysis Annals from Warsaw School of Economics, Collegium of Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Michał Bernardelli ().