Understanding electricity price evolution – day-ahead market competitiveness in Romania
The unexpected pandemic eruption in March 2020, the European efforts to diminish the gas house emissions, prolonged drought, higher inflation and the war in Ukraine clearly have had a strong impact on the electricity price. In this paper, we analyze the electricity prices on the Romanian Day-Ahead...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2023-05-01
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| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://mla.vgtu.lt/index.php/JBEM/article/view/19050 |
| _version_ | 1827950325817933824 |
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| author | Adela Bâra Simona-Vasilica Oprea Irina Alexandra Georgescu |
| author_facet | Adela Bâra Simona-Vasilica Oprea Irina Alexandra Georgescu |
| author_sort | Adela Bâra |
| collection | DOAJ |
| description |
The unexpected pandemic eruption in March 2020, the European efforts to diminish the gas house emissions, prolonged drought, higher inflation and the war in Ukraine clearly have had a strong impact on the electricity price. In this paper, we analyze the electricity prices on the Romanian Day-Ahead Market (DAM) along with other variables (inflation, consumption and traded volume of gas on DAM) over the last three and a half years in an attempt to understand its evolution and future trend in the economic and geopolitical context. Autoregressive Distributed Lag models are proposed to analyze the causality among variables on short- and long-term perspective, whereas Quantile Regression (QR) is proposed to enhance the results of the Ordinary Least Squares (OLS) regression. Furthermore, using market concentration metrics – Herfindahl-Hirschman Index (HHI), C1 and C3 ratio, we analyze the competitiveness on the Romanian DAM and correlate it with the electricity price evolution. The concentration indicators on this market reflect the degree of competition manifested between sellers and buyers respectively, their dynamics being able to influence the price level. The higher concentration on the sellers’ side (HHI = 1500) indicates a potential speculative behavior on this market that led to higher prices on DAM.
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| first_indexed | 2024-04-09T13:24:07Z |
| format | Article |
| id | doaj.art-4547fa4d731846bf8eeda67ec5a32258 |
| institution | Directory Open Access Journal |
| issn | 1611-1699 2029-4433 |
| language | English |
| last_indexed | 2024-04-09T13:24:07Z |
| publishDate | 2023-05-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Journal of Business Economics and Management |
| spelling | doaj.art-4547fa4d731846bf8eeda67ec5a322582023-05-10T15:17:55ZengVilnius Gediminas Technical UniversityJournal of Business Economics and Management1611-16992029-44332023-05-0124210.3846/jbem.2023.19050Understanding electricity price evolution – day-ahead market competitiveness in RomaniaAdela Bâra0Simona-Vasilica Oprea1Irina Alexandra Georgescu2Department of Economic Informatics and Cybernetics, Bucharest University of Economic Studies, Bucharest, RomaniaDepartment of Economic Informatics and Cybernetics, Bucharest University of Economic Studies, Bucharest, RomaniaDepartment of Economic Informatics and Cybernetics, Bucharest University of Economic Studies, Bucharest, Romania The unexpected pandemic eruption in March 2020, the European efforts to diminish the gas house emissions, prolonged drought, higher inflation and the war in Ukraine clearly have had a strong impact on the electricity price. In this paper, we analyze the electricity prices on the Romanian Day-Ahead Market (DAM) along with other variables (inflation, consumption and traded volume of gas on DAM) over the last three and a half years in an attempt to understand its evolution and future trend in the economic and geopolitical context. Autoregressive Distributed Lag models are proposed to analyze the causality among variables on short- and long-term perspective, whereas Quantile Regression (QR) is proposed to enhance the results of the Ordinary Least Squares (OLS) regression. Furthermore, using market concentration metrics – Herfindahl-Hirschman Index (HHI), C1 and C3 ratio, we analyze the competitiveness on the Romanian DAM and correlate it with the electricity price evolution. The concentration indicators on this market reflect the degree of competition manifested between sellers and buyers respectively, their dynamics being able to influence the price level. The higher concentration on the sellers’ side (HHI = 1500) indicates a potential speculative behavior on this market that led to higher prices on DAM. https://mla.vgtu.lt/index.php/JBEM/article/view/19050market concentration metricsday-ahead marketelectricity pricecausalityautoregressive distributed lagquantile regression |
| spellingShingle | Adela Bâra Simona-Vasilica Oprea Irina Alexandra Georgescu Understanding electricity price evolution – day-ahead market competitiveness in Romania Journal of Business Economics and Management market concentration metrics day-ahead market electricity price causality autoregressive distributed lag quantile regression |
| title | Understanding electricity price evolution – day-ahead market competitiveness in Romania |
| title_full | Understanding electricity price evolution – day-ahead market competitiveness in Romania |
| title_fullStr | Understanding electricity price evolution – day-ahead market competitiveness in Romania |
| title_full_unstemmed | Understanding electricity price evolution – day-ahead market competitiveness in Romania |
| title_short | Understanding electricity price evolution – day-ahead market competitiveness in Romania |
| title_sort | understanding electricity price evolution day ahead market competitiveness in romania |
| topic | market concentration metrics day-ahead market electricity price causality autoregressive distributed lag quantile regression |
| url | https://mla.vgtu.lt/index.php/JBEM/article/view/19050 |
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