EconPapers    
Economics at your fingertips  
 

The fundamental drivers of electricity price: a multi-scale adaptive regression analysis

Dmitriy O. Afanasyev (), Elena A. Fedorova () and Evgeniy V. Gilenko ()
Additional contact information
Dmitriy O. Afanasyev: JSC Greenatom
Elena A. Fedorova: Financial University Under the Government of Russian Federation
Evgeniy V. Gilenko: St. Petersburg State University

Empirical Economics, 2021, vol. 60, issue 4, No 12, 1913-1938

Abstract: Abstract Is the influence of such fundamental drivers as electricity demand and fossil fuel prices on electricity price time- and scale-dependent? At which time-scales is the influence of electricity demand on electricity price the strongest? Starting at which time-scale do changes in the fuel markets impact the electricity price? To answer these questions, the paper proposes a novel methodology—a multi-scale adaptive regression analysis based on the time-dependent intrinsic regression. Its application is demonstrated both on simulated data and on actual data from three electricity markets: the Europe-Ural price area (ATS EU) and the Siberia price area (ATS SI) in Russia, and the APX power spot exchange in the UK. The obtained results show that the influence of fundamental factors on electricity price does depend on time-scale and for the majority of the time-scales is time-dependent. The influence of electricity demand is most prominent both in the short and long terms for ATS EU and APX, while for ATS SI its impact is significant only in the long term. Finally, for all the electricity exchanges under study, the influence of fuel markets is absent in the short term and becomes prominent only in the medium or long terms.

Keywords: Electricity price; Fundamental models; Empirical mode decomposition; Multi-scale adaptive analysis; Time-dependent intrinsic regression (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s00181-020-01825-3 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:empeco:v:60:y:2021:i:4:d:10.1007_s00181-020-01825-3

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-020-01825-3

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2021-04-24
Handle: RePEc:spr:empeco:v:60:y:2021:i:4:d:10.1007_s00181-020-01825-3