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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/2563

Título: Electricity Market Interconnections and Electricity Price Volatility
Autor: Fonseca, Nuno
Duque, João
Palavras-chave: Electricity Price Modelling
Price Returns Volatility
Physical Electricity Market
Volatility
Issue Date: Nov-2008
Editora: ISEG - ADVANCE
Citação: Fonseca, Nuno e João Duque. 2008. "Electricity Market Interconnections and Electricity Price Volatility". Instituto Superior de Economia e Gestão – ADVANCE Working paper nº 7/2008
Relatório da Série N.º: ADVANCE Working paper;nº 7/2008
Resumo: In this paper, we present a model of changes in electricity price returns in the context of interconnected electricity markets. This model predicts an inverse relationship between the increase in interconnection capacity and the volatility of price returns in the corresponding electricity markets. This means that an increase of interconnection between two markets leads to a decrease in the volatility of their prices. We support our model with empirical results from the Australian, European and USA electricity markets. The results suggest that this inverse relationship between interconnection and volatility exists, meaning that when markets tend to be physically interconnected, variance tends to be reduced.
URI: http://hdl.handle.net/10400.5/2563
Versão do Editor: http://pascal.iseg.utl.pt/~advance/200806.pdf
Appears in Collections:DG - Documentos de trabalho / Working Papers
ADVANCE - Working Papers

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