Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models

In the modern electricity markets, negative prices and spike prices coexist as a pair of opposite economic phenomena. This study investigates how these extreme prices play as the determinants to drive price fluctuations in the electricity market. We construct a two-stage analysis including a princip...
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Autor*in:	Kun Li [verfasserIn] Joseph D. Cursio [verfasserIn] Yunchuan Sun [verfasserIn] Zizheng Zhu [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2019

Schlagwörter:	price fluctuation principal component analysis nardl electricity market spike price negative price

Übergeordnetes Werk:	In: Ekonomska Istraživanja - Taylor & Francis Group, 2019, 32(2019), 1, Seite 2404-2421
Übergeordnetes Werk:	volume:32 ; year:2019 ; number:1 ; pages:2404-2421

Links:	Link aufrufen Link aufrufen Link aufrufen Journal toc Journal toc

DOI / URN:	10.1080/1331677X.2019.1645712

Katalog-ID:	DOAJ028754654

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callnumber-first	H - Social Science
author	Kun Li
spellingShingle	Kun Li misc HD72-88 misc price fluctuation misc principal component analysis misc nardl misc electricity market misc spike price misc negative price misc Economic growth, development, planning misc Regional economics. Space in economics misc HT388 Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models
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topic_title	HD72-88 Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models price fluctuation principal component analysis nardl electricity market spike price negative price
topic	misc HD72-88 misc price fluctuation misc principal component analysis misc nardl misc electricity market misc spike price misc negative price misc Economic growth, development, planning misc Regional economics. Space in economics misc HT388
topic_unstemmed	misc HD72-88 misc price fluctuation misc principal component analysis misc nardl misc electricity market misc spike price misc negative price misc Economic growth, development, planning misc Regional economics. Space in economics misc HT388
topic_browse	misc HD72-88 misc price fluctuation misc principal component analysis misc nardl misc electricity market misc spike price misc negative price misc Economic growth, development, planning misc Regional economics. Space in economics misc HT388
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title	Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models
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title_full	Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models
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title_sort	determinants of price fluctuations in the electricity market: a study with pca and nardl models
callnumber	HD72-88
title_auth	Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models
abstract	In the modern electricity markets, negative prices and spike prices coexist as a pair of opposite economic phenomena. This study investigates how these extreme prices play as the determinants to drive price fluctuations in the electricity market. We construct a two-stage analysis including a principal component analysis (PCA) and a nonlinear autoregressive distributed lags model (NARDL). We apply this analytical method to the wholesale Pennsylvania, New Jersey and Maryland (PJM) electricity market. We find that according to PCA, in the individual transmission lines, spike prices are determinants with largest explanatory power to the variation of prices, while according to NARDL, from the standpoint of the overall market, negative prices have a larger potential effect on both the real-time market and the forward market. These results are valuable and contributive to managers and operators in the electricity markets for policy decision making.
abstractGer	In the modern electricity markets, negative prices and spike prices coexist as a pair of opposite economic phenomena. This study investigates how these extreme prices play as the determinants to drive price fluctuations in the electricity market. We construct a two-stage analysis including a principal component analysis (PCA) and a nonlinear autoregressive distributed lags model (NARDL). We apply this analytical method to the wholesale Pennsylvania, New Jersey and Maryland (PJM) electricity market. We find that according to PCA, in the individual transmission lines, spike prices are determinants with largest explanatory power to the variation of prices, while according to NARDL, from the standpoint of the overall market, negative prices have a larger potential effect on both the real-time market and the forward market. These results are valuable and contributive to managers and operators in the electricity markets for policy decision making.
abstract_unstemmed	In the modern electricity markets, negative prices and spike prices coexist as a pair of opposite economic phenomena. This study investigates how these extreme prices play as the determinants to drive price fluctuations in the electricity market. We construct a two-stage analysis including a principal component analysis (PCA) and a nonlinear autoregressive distributed lags model (NARDL). We apply this analytical method to the wholesale Pennsylvania, New Jersey and Maryland (PJM) electricity market. We find that according to PCA, in the individual transmission lines, spike prices are determinants with largest explanatory power to the variation of prices, while according to NARDL, from the standpoint of the overall market, negative prices have a larger potential effect on both the real-time market and the forward market. These results are valuable and contributive to managers and operators in the electricity markets for policy decision making.
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title_short	Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models
url	https://doi.org/10.1080/1331677X.2019.1645712 https://doaj.org/article/f47d9b69503349b2a2c56f78ed22cf67 http://dx.doi.org/10.1080/1331677X.2019.1645712 https://doaj.org/toc/1331-677X https://doaj.org/toc/1848-9664
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author2	Joseph D. Cursio Yunchuan Sun Zizheng Zhu
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doi_str	10.1080/1331677X.2019.1645712
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up_date	2024-07-03T19:17:12.681Z
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Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models

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