| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal | |
| Matteo Manera; Massimiliano Serati; Michele Plotegher | |
| 发表日期 | 2008 |
| 出处 | Energy: Resources and Markets |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | In the last decades a liberalization of the electric market has started; prices are now determined on the basis of contracts on regular markets and their behaviour is mainly driven by usual supply and demand forces. A large body of literature has been developed in order to analyze and forecast their evolution: it includes works with different aims and methodologies depending on the temporal horizon being studied. In this survey we depict the actual state of the art focusing only on the recent papers oriented to the determination of trends in electricity spot prices and to the forecast of these prices in the short run. Structural methods of analysis, which result appropriate for the determination of forward and future values are left behind. Studies have been divided into three broad classes: Autoregressive models, Regime switching models, Volatility models. Six fundamental points arise: the peculiarities of electricity market, the complex statistical properties of prices, the lack of economic foundations of statistical models used for price analysis, the primacy of uniequational approaches, the crucial role played by demand and supply in prices determination, the lack of clearcut evidence in favour of a specific framework of analysis. To take into account the previous stylized issues, we propose the adoption of a methodological framework not yet used to model and forecast electricity prices: a time varying parameters Dynamic Factor Model (DFM). Such an eclectic approach, introduced in the late '70s for macroeconomic analysis, enables the identification of the unobservable dynamics of demand and supply driving electricity prices, the coexistence of short term and long term determinants, the creation of forecasts on future trends. Moreover, we have the possibility of simulating the impact that mismatches between demand and supply have over the price variable. This way it is possible to evaluate whether congestions in the network (eventually leading black out phenomena) trigger price reactions that can be considered as warning mechanisms. |
| 特色分类 | C2,C3,Q4 |
| 关键词 | Electricity Spot Prices,Autoregressive Models,GARCH Models,Regime Switching Models,Dynamic Factor Models |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/modeling-electricity-prices-from-the-state-of-the-art-to-a-draft-of-a-new-proposal/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/117534 |
| 推荐引用方式 GB/T 7714 | Matteo Manera,Massimiliano Serati,Michele Plotegher. Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2008-009.pdf（474KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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