不确定性成本：分析煤炭价格变化、俄乌战争和地缘政治风险对印度电力现货市场风险溢价的影响

IF 14.2 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-01-01 DOI:10.1016/j.eneco.2024.108129

Jalal Siddiki , Prakash Singh

{"title":"不确定性成本：分析煤炭价格变化、俄乌战争和地缘政治风险对印度电力现货市场风险溢价的影响","authors":"Jalal Siddiki , Prakash Singh","doi":"10.1016/j.eneco.2024.108129","DOIUrl":null,"url":null,"abstract":"<div><div>Using hourly data from June 1, 2020 to April 25, 2024, this paper first examines the characteristics of wholesale spot - Day-Ahead Market (DAM) and Real-Time Market (RTM) - prices in India. Second, we examine the impact on risk premiums (RPs) of changes in coal prices, the Russia-Ukraine war, demand conditions, economic policy uncertainty (EPU) and geopolitical risks (GPRs). We find that spot prices are highly volatile. Average hourly DAM prices are significantly higher than RTM prices for most hours during both weekdays and weekends, resulting in positive RPs and reflecting supply shortages and the presence of inefficiency in Indian wholesale electricity markets. The Russia-Ukraine war, EPU, GPRs, coal prices and high peak-hour demand increase RPs and are critical factors in explaining RPs. Results are robust across data frequencies and across sample periods. The results suggest increasing product diversification to reduce dependence on coal-based electricity production. These results have important policy implications for attempts to circumvent uncertainty, given that the Russia-Ukraine war has accelerated the rise in energy prices and brought significant uncertainty to Indian and global energy markets.</div></div>","PeriodicalId":11665,"journal":{"name":"Energy Economics","volume":"141 ","pages":"Article 108129"},"PeriodicalIF":14.2000,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The cost of uncertainty: Analysing the influence of coal price changes, the Russia-Ukraine war and geopolitical risk on risk premiums in the Indian electricity spot market\",\"authors\":\"Jalal Siddiki , Prakash Singh\",\"doi\":\"10.1016/j.eneco.2024.108129\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Using hourly data from June 1, 2020 to April 25, 2024, this paper first examines the characteristics of wholesale spot - Day-Ahead Market (DAM) and Real-Time Market (RTM) - prices in India. Second, we examine the impact on risk premiums (RPs) of changes in coal prices, the Russia-Ukraine war, demand conditions, economic policy uncertainty (EPU) and geopolitical risks (GPRs). We find that spot prices are highly volatile. Average hourly DAM prices are significantly higher than RTM prices for most hours during both weekdays and weekends, resulting in positive RPs and reflecting supply shortages and the presence of inefficiency in Indian wholesale electricity markets. The Russia-Ukraine war, EPU, GPRs, coal prices and high peak-hour demand increase RPs and are critical factors in explaining RPs. Results are robust across data frequencies and across sample periods. The results suggest increasing product diversification to reduce dependence on coal-based electricity production. These results have important policy implications for attempts to circumvent uncertainty, given that the Russia-Ukraine war has accelerated the rise in energy prices and brought significant uncertainty to Indian and global energy markets.</div></div>\",\"PeriodicalId\":11665,\"journal\":{\"name\":\"Energy Economics\",\"volume\":\"141 \",\"pages\":\"Article 108129\"},\"PeriodicalIF\":14.2000,\"publicationDate\":\"2025-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Energy Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0140988324008387\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Energy Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0140988324008387","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 0

摘要

本文使用2020年6月1日至2024年4月25日的每小时数据，首先研究了印度批发现货-日前市场（DAM）和实时市场（RTM）价格的特征。其次，我们考察了煤炭价格变化、俄乌战争、需求状况、经济政策不确定性（EPU）和地缘政治风险（gpr）对风险溢价（rp）的影响。我们发现现货价格波动很大。在工作日和周末的大部分时间里，平均每小时DAM价格明显高于RTM价格，导致RPs为正，反映了印度批发电力市场的供应短缺和低效率。俄乌战争、EPU、GPRs、煤炭价格和高峰时段需求增加了RPs，是解释RPs的关键因素。结果在数据频率和样本周期内都是稳健的。结果建议增加产品多样化，以减少对煤基电力生产的依赖。鉴于俄乌战争加速了能源价格的上涨，给印度和全球能源市场带来了巨大的不确定性，这些结果对试图规避不确定性具有重要的政策意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

The cost of uncertainty: Analysing the influence of coal price changes, the Russia-Ukraine war and geopolitical risk on risk premiums in the Indian electricity spot market

Using hourly data from June 1, 2020 to April 25, 2024, this paper first examines the characteristics of wholesale spot - Day-Ahead Market (DAM) and Real-Time Market (RTM) - prices in India. Second, we examine the impact on risk premiums (RPs) of changes in coal prices, the Russia-Ukraine war, demand conditions, economic policy uncertainty (EPU) and geopolitical risks (GPRs). We find that spot prices are highly volatile. Average hourly DAM prices are significantly higher than RTM prices for most hours during both weekdays and weekends, resulting in positive RPs and reflecting supply shortages and the presence of inefficiency in Indian wholesale electricity markets. The Russia-Ukraine war, EPU, GPRs, coal prices and high peak-hour demand increase RPs and are critical factors in explaining RPs. Results are robust across data frequencies and across sample periods. The results suggest increasing product diversification to reduce dependence on coal-based electricity production. These results have important policy implications for attempts to circumvent uncertainty, given that the Russia-Ukraine war has accelerated the rise in energy prices and brought significant uncertainty to Indian and global energy markets.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

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.