Department of Economics and Business Economics

Space-time modeling of electricity spot prices

Research output: Working paper/Preprint Working paperResearch

Standard

Space-time modeling of electricity spot prices. / Abate, Girum Dagnachew; Haldrup, Niels.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

Research output: Working paper/Preprint Working paperResearch

Harvard

Abate, GD & Haldrup, N 2015 'Space-time modeling of electricity spot prices' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Abate, G. D., & Haldrup, N. (2015). Space-time modeling of electricity spot prices. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2015-22

CBE

Abate GD, Haldrup N. 2015. Space-time modeling of electricity spot prices. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Abate, Girum Dagnachew and Niels Haldrup Space-time modeling of electricity spot prices. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2015-22). 2015., 21 p.

Vancouver

Abate GD, Haldrup N. Space-time modeling of electricity spot prices. Aarhus: Institut for Økonomi, Aarhus Universitet. 2015 May 8.

Author

Abate, Girum Dagnachew ; Haldrup, Niels. / Space-time modeling of electricity spot prices. Aarhus : Institut for Økonomi, Aarhus Universitet, 2015. (CREATES Research Papers; No. 2015-22).

Bibtex

@techreport{e2cd7c8e6f744854bc8680210b419770,
title = "Space-time modeling of electricity spot prices",
abstract = "In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily important when prices and loads are determined in a network of power exchange areas. We use data from the Nord Pool electricity power exchange area bidding markets. Different spatial weight matrices are considered to capture the structure of the spatial dependence process across different bidding markets and statistical tests show significant spatial dependence in the spot price dynamics. Estimation of the spatial Durbin model show that the spatial lag variable is as important as the temporal lag variable in describing the spot price dynamics. We use the partial derivatives impact approach to decompose the price impacts into direct and indirect effects and we show that price effects transmit to neighboring markets and decline with distance. In order to examine the evolution of the spatial correlation over time, a time varying parameters spot price spatial Durbin model is estimated using recursive estimation. It is found that the spatial correlation within the Nord Pool grid has been increasing over time which we interpret as evidence for an increasing degree of market integration.",
keywords = "Autoregressive, Spatial-Time series, Spatial dependence",
author = "Abate, {Girum Dagnachew} and Niels Haldrup",
year = "2015",
month = may,
day = "8",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2015-22",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Space-time modeling of electricity spot prices

AU - Abate, Girum Dagnachew

AU - Haldrup, Niels

PY - 2015/5/8

Y1 - 2015/5/8

N2 - In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily important when prices and loads are determined in a network of power exchange areas. We use data from the Nord Pool electricity power exchange area bidding markets. Different spatial weight matrices are considered to capture the structure of the spatial dependence process across different bidding markets and statistical tests show significant spatial dependence in the spot price dynamics. Estimation of the spatial Durbin model show that the spatial lag variable is as important as the temporal lag variable in describing the spot price dynamics. We use the partial derivatives impact approach to decompose the price impacts into direct and indirect effects and we show that price effects transmit to neighboring markets and decline with distance. In order to examine the evolution of the spatial correlation over time, a time varying parameters spot price spatial Durbin model is estimated using recursive estimation. It is found that the spatial correlation within the Nord Pool grid has been increasing over time which we interpret as evidence for an increasing degree of market integration.

AB - In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily important when prices and loads are determined in a network of power exchange areas. We use data from the Nord Pool electricity power exchange area bidding markets. Different spatial weight matrices are considered to capture the structure of the spatial dependence process across different bidding markets and statistical tests show significant spatial dependence in the spot price dynamics. Estimation of the spatial Durbin model show that the spatial lag variable is as important as the temporal lag variable in describing the spot price dynamics. We use the partial derivatives impact approach to decompose the price impacts into direct and indirect effects and we show that price effects transmit to neighboring markets and decline with distance. In order to examine the evolution of the spatial correlation over time, a time varying parameters spot price spatial Durbin model is estimated using recursive estimation. It is found that the spatial correlation within the Nord Pool grid has been increasing over time which we interpret as evidence for an increasing degree of market integration.

KW - Autoregressive, Spatial-Time series, Spatial dependence

M3 - Working paper

T3 - CREATES Research Papers

BT - Space-time modeling of electricity spot prices

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -