Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce


IMPACT FACTOR 2017: 0.855

CiteScore 2017: 0.76

SCImago Journal Rank (SJR) 2017: 0.668
Source Normalized Impact per Paper (SNIP) 2017: 0.894

Mathematical Citation Quotient (MCQ) 2017: 0.02

Online
ISSN
1558-3708
See all formats and pricing
More options …
Volume 10, Issue 3

Issues

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Niels Haldrup / Morten Ø. Nielsen
Published Online: 2006-09-22 | DOI: https://doi.org/10.2202/1558-3708.1367

The functioning of electricity markets has experienced increasing complexity as a result of deregulation in recent years. Consequently this affects the multilateral price behaviour across regions with physical exchange of power. It has been documented elsewhere that features such as long memory and regime switching reflecting congestion and non-congestion periods are empirically relevant and hence are features that need to be taken into account when modeling price behavior. In the present paper we further elaborate on the co-existence of long memory and regime switches by focusing on the effect that the direction of possible congestion episodes has on the price dynamics. Under non-congestion prices are identical. The direction of possible congestion is identified by the region with excess demand of power through the sign of price differences and hence three different states can be considered: Non-congestion and congestion periods with excess demand in the one or the other region. Using data from the Nordic power exchange, Nord Pool, we find that the price dynamics and long memory features of the price series generally are rather different across the different states. Also, there is evidence of fractional cointegration at some grid points when conditioning on the states.

This article offers supplementary material which is provided at the end of the article.

About the article

Published Online: 2006-09-22


Citation Information: Studies in Nonlinear Dynamics & Econometrics, Volume 10, Issue 3, ISSN (Online) 1558-3708, DOI: https://doi.org/10.2202/1558-3708.1367.

Export Citation

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston.Get Permission

Supplementary Article Materials

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[1]
Jan Marckhoff and Jens Wimschulte
Energy Economics, 2009, Volume 31, Number 2, Page 257

Comments (0)

Please log in or register to comment.
Log in