| Title |
Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models |
| ID_Doc |
18549 |
| Authors |
Li, K; Cursio, JD; Sun, YC; Zhu, ZZ |
| Title |
Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models |
| Year |
2019 |
| Published |
Economic Research-Ekonomska Istrazivanja, 32.0, 1 |
| DOI |
10.1080/1331677X.2019.1645712 |
| Abstract |
In the modern electricity markets, negative prices and spike prices coexist as a pair of opposite economic phenomena. This study investigates how these extreme prices play as the determinants to drive price fluctuations in the electricity market. We construct a two-stage analysis including a principal component analysis (PCA) and a nonlinear autoregressive distributed lags model (NARDL). We apply this analytical method to the wholesale Pennsylvania, New Jersey and Maryland (PJM) electricity market. We find that according to PCA, in the individual transmission lines, spike prices are determinants with largest explanatory power to the variation of prices, while according to NARDL, from the standpoint of the overall market, negative prices have a larger potential effect on both the real-time market and the forward market. These results are valuable and contributive to managers and operators in the electricity markets for policy decision making. |
| Author Keywords |
Price fluctuation; principal component analysis; NARDL; electricity market; spike price; negative price |
| Index Keywords |
Index Keywords |
| Document Type |
Other |
| Open Access |
Open Access |
| Source |
Social Science Citation Index (SSCI) |
| EID |
WOS:000480628600001 |
| WoS Category |
Economics |
| Research Area |
Business & Economics |
| PDF |
https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2019.1645712?needAccess=true
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