Fundamental Responsiveness in European Electricity Prices

We estimate fundamental pricing relationships in selected European day-ahead electricity markets. Using a fractionally integrated panel data model with unobserved common effects, we quantify the responsiveness of hourly electricity prices to two fundamental leading indicators of day-ahead markets: t...

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Autores principales:	Michail I. Seitaridis, Nikolaos S. Thomaidis, Pandelis N. Biskas
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	day-ahead electricity markets fundamental valuation panel data econometrics common latent effects long memory Technology T
Acceso en línea:	https://doaj.org/article/165f9fa0139f46989db52258afe5dbbd
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spelling	oai:doaj.org-article:165f9fa0139f46989db52258afe5dbbd2021-11-25T17:27:20ZFundamental Responsiveness in European Electricity Prices10.3390/en142276231996-1073https://doaj.org/article/165f9fa0139f46989db52258afe5dbbd2021-11-01T00:00:00Zhttps://www.mdpi.com/1996-1073/14/22/7623https://doaj.org/toc/1996-1073We estimate fundamental pricing relationships in selected European day-ahead electricity markets. Using a fractionally integrated panel data model with unobserved common effects, we quantify the responsiveness of hourly electricity prices to two fundamental leading indicators of day-ahead markets: the predicted load and renewable generation. The application of fractional cointegration analysis techniques gives further insight into the pricing mechanism of power delivery contracts, enabling us to measure the persistence of fundamental shocks.Michail I. SeitaridisNikolaos S. ThomaidisPandelis N. BiskasMDPI AGarticleday-ahead electricity marketsfundamental valuationpanel data econometricscommon latent effectslong memoryTechnologyTENEnergies, Vol 14, Iss 7623, p 7623 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	day-ahead electricity markets fundamental valuation panel data econometrics common latent effects long memory Technology T
spellingShingle	day-ahead electricity markets fundamental valuation panel data econometrics common latent effects long memory Technology T Michail I. Seitaridis Nikolaos S. Thomaidis Pandelis N. Biskas Fundamental Responsiveness in European Electricity Prices
description	We estimate fundamental pricing relationships in selected European day-ahead electricity markets. Using a fractionally integrated panel data model with unobserved common effects, we quantify the responsiveness of hourly electricity prices to two fundamental leading indicators of day-ahead markets: the predicted load and renewable generation. The application of fractional cointegration analysis techniques gives further insight into the pricing mechanism of power delivery contracts, enabling us to measure the persistence of fundamental shocks.
format	article
author	Michail I. Seitaridis Nikolaos S. Thomaidis Pandelis N. Biskas
author_facet	Michail I. Seitaridis Nikolaos S. Thomaidis Pandelis N. Biskas
author_sort	Michail I. Seitaridis
title	Fundamental Responsiveness in European Electricity Prices
title_short	Fundamental Responsiveness in European Electricity Prices
title_full	Fundamental Responsiveness in European Electricity Prices
title_fullStr	Fundamental Responsiveness in European Electricity Prices
title_full_unstemmed	Fundamental Responsiveness in European Electricity Prices
title_sort	fundamental responsiveness in european electricity prices
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/165f9fa0139f46989db52258afe5dbbd
work_keys_str_mv	AT michailiseitaridis fundamentalresponsivenessineuropeanelectricityprices AT nikolaossthomaidis fundamentalresponsivenessineuropeanelectricityprices AT pandelisnbiskas fundamentalresponsivenessineuropeanelectricityprices
_version_	1718412332914180096

Fundamental Responsiveness in European Electricity Prices

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