Market Structure and the Stability and Volatility of Electricity Prices

Mikael Bask and Anna Widerberg ()

No 327, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: By using a novel approach in this paper,(lambda,sigma²)-analysis, we have found that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased. That electricity prices at Nord Pool have been generated by a stochastic dynamic system that most often has become more stable during the step-wise integration of the Nordic power market means that this market is less sensitive to shocks after the integration process than it was before this process. This is good news.

Keywords: Electricity Prices; GARCH Models; Lyapunov Exponents; Market Structure; Reconstructed Dynamics; Stability; Volatility (search for similar items in EconPapers)
JEL-codes: C14 C22 D43 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2008-11-06
New Economics Papers: this item is included in nep-com and nep-ene
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Citations: View citations in EconPapers (1)

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http://hdl.handle.net/2077/18659 (text/html)

Related works:
Journal Article: Market structure and the stability and volatility of electricity prices (2009)
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