Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/74388
Authors: 
Thoenes, Stefan
Year of Publication: 
2011
Series/Report no.: 
EWI Working Paper 11/06
Abstract: 
This paper shows how the effect of fuel prices varies with the level of electricity demand. It analyzes the relationship between daily prices of electricity, natural gas and carbon emission allowances with a vector error correction model and a semiparametric varying smooth coef- ficient model. The results indicate that the electricity price adapts to fuel price changes in a long-term cointegration relationship. Different electricity generation technologies have distinct fuel price dependencies, which allows estimating the structure of the power plant portfolio by exploiting market prices. The semiparametric model indicates a technology switch from coal to gas at roughly 85% of maximum demand. It is used to analyze the market impact of the nuclear moratorium by the German Government in March 2011. Futures prices show that the market efficiently accounts for the suspended capacity and expects that several nuclear plants will not be switched on after the moratorium.
Subjects: 
Electricity Market
Merit Order
Cointegration
Varying Coefficient
Nuclear Moratorium
JEL: 
G14
L94
Q41
Q48
Document Type: 
Working Paper

Files in This Item:
File
Size
416.97 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.