Risk factors in the formulation of day-ahead electricity prices: Evidence from the Spanish case

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2024-12-19 DOI:10.1016/j.eneco.2024.108102

Eleftheria G. Paschalidou, Nikolaos S. Thomaidis

引用次数: 0

Abstract

This study investigates the dynamic connection between Spanish day-ahead electricity prices and various fundamental determinants, including average surface temperature, forecasted electricity demand, predicted renewable energy injection, natural gas futures prices and CO2 emission rights cost. Structural Dynamic Factor Models (SDFM) are employed to decompose each hourly price signal into systematic components linked to any of the fundamental indices mentioned above and unveil structural shocks moving the entire panel of variables. Empirical results indicate that Spanish day-ahead electricity prices have a strong fundamental basis; a great deal of their observed short- or long-run variations are explained by changes in temperature, load, renewable energy supply, natural gas and carbon permit cost.

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.