制定日前电价的风险因素：来自西班牙案例的证据

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-02-01 DOI:10.1016/j.eneco.2024.108102

Eleftheria G. Paschalidou , Nikolaos S. Thomaidis

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引用次数: 0

摘要

本研究探讨了西班牙日前电价与各种基本因素之间的动态关系，包括平均地表温度、预测电力需求、预测可再生能源注入、天然气期货价格和二氧化碳排放权成本。采用结构动态因素模型（SDFM）将每小时价格信号分解为与上述任何基本指数相关的系统组件，并揭示影响整个变量面板的结构性冲击。实证结果表明，西班牙日前电价具有较强的基本面基础；它们观察到的大量短期或长期变化可以用温度、负荷、可再生能源供应、天然气和碳排放许可成本的变化来解释。

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

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.