Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
The present work aims to quantitatively measure the relationships between the price of energy commodities, coal, gas natural, fuel oil, carbon prices and the price of wholesale electricity in the Iberian Electricity Market, using 2018 daily data. To examine this relationship, we considered both tech...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2022-06-01
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| Series: | Energy Reports |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2352484722006734 |
| _version_ | 1818509571177578496 |
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| author | Victor Moutinho Henrique Oliveira Jorge Mota |
| author_facet | Victor Moutinho Henrique Oliveira Jorge Mota |
| author_sort | Victor Moutinho |
| collection | DOAJ |
| description | The present work aims to quantitatively measure the relationships between the price of energy commodities, coal, gas natural, fuel oil, carbon prices and the price of wholesale electricity in the Iberian Electricity Market, using 2018 daily data. To examine this relationship, we considered both techniques, Markov-Switching Dynamic Regression and Markov-Switching Autoregressive Regression, and proposed two equations with electricity price and coal price as dependent variables. According to the parameters estimated in the model, coal and gas affect the cost of electricity moderately at times in the day that are highly recessive. During the 2018 daily periods analysed, the relative changes in gas and coal prices led to a loss of competitiveness of natural gas, increased by the moderate evolution of carbon prices, and therefore the cost of coal fell sharply in the recent past. The evolution of both time-varying transition probabilities and energy commodities prices variables is informative. The transition probabilities of staying in the same state change throughout our sample of energy commodities and wholesale electricity prices. |
| first_indexed | 2024-12-10T22:47:17Z |
| format | Article |
| id | doaj.art-c466db29909b45bc9857150f6c7c70e0 |
| institution | Directory Open Access Journal |
| issn | 2352-4847 |
| language | English |
| last_indexed | 2024-12-10T22:47:17Z |
| publishDate | 2022-06-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Energy Reports |
| spelling | doaj.art-c466db29909b45bc9857150f6c7c70e02022-12-22T01:30:33ZengElsevierEnergy Reports2352-48472022-06-018589594Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching RegressionVictor Moutinho0Henrique Oliveira1Jorge Mota2NECE and DEM, University of Beira Interior, PortugalNECE and DEM, University of Beira Interior, PortugalGOVCOPP, DEGEIT, University of Aveiro, Portugal; Corresponding author.The present work aims to quantitatively measure the relationships between the price of energy commodities, coal, gas natural, fuel oil, carbon prices and the price of wholesale electricity in the Iberian Electricity Market, using 2018 daily data. To examine this relationship, we considered both techniques, Markov-Switching Dynamic Regression and Markov-Switching Autoregressive Regression, and proposed two equations with electricity price and coal price as dependent variables. According to the parameters estimated in the model, coal and gas affect the cost of electricity moderately at times in the day that are highly recessive. During the 2018 daily periods analysed, the relative changes in gas and coal prices led to a loss of competitiveness of natural gas, increased by the moderate evolution of carbon prices, and therefore the cost of coal fell sharply in the recent past. The evolution of both time-varying transition probabilities and energy commodities prices variables is informative. The transition probabilities of staying in the same state change throughout our sample of energy commodities and wholesale electricity prices.http://www.sciencedirect.com/science/article/pii/S2352484722006734CO2 pricesCommodities pricesElectricity pricesIberian electricity market (MIBEL)Markov-Switching |
| spellingShingle | Victor Moutinho Henrique Oliveira Jorge Mota Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression Energy Reports CO2 prices Commodities prices Electricity prices Iberian electricity market (MIBEL) Markov-Switching |
| title | Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression |
| title_full | Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression |
| title_fullStr | Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression |
| title_full_unstemmed | Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression |
| title_short | Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression |
| title_sort | examining the long term relationships between energy commodities prices and carbon prices on electricity prices using markov switching regression |
| topic | CO2 prices Commodities prices Electricity prices Iberian electricity market (MIBEL) Markov-Switching |
| url | http://www.sciencedirect.com/science/article/pii/S2352484722006734 |
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