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  • Examining the long term relationships between energy commodities prices and carbon prices on electricity prices using Markov Switching Regression
    Publication . Moutinho, Victor; Oliveira, Henrique Viana Espinosa De; Mota, Jorge
    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.
  • Examining the effect of quantities offered by hydraulic, renewable, non-renewable sources and thermal technologies on electricity prices in the MIBEL market through and ADRL approach
    Publication . Moutinho, Victor; Moreira, António; Mota, Jorge
    The objective of this article is to analyze and empirically validate the differential effects in the daily schedules of the induced electricity prices by selling bids for three different technologies, namely hydraulic, thermal and renewable energy sources (RES), in hourly values, by daily observations for the year 2018. To achieve this objective, we employ an autoregressive distributed lag (ARDL) model-bound testing approach The results of the ADRL-ECM method, which also reports the long-run analysis, show that (a) the renewable and thermal technologies positively and significantly affect the electricity price for Endesa and Hidroelétrica del Cantábrico generators and (b) the hydraulic technology impacts negatively the electricity price, both at a 1% level of significance. In addition, following a long-term perspective it must be highlighted that RES negatively impact the price of electricity with a 1% level of significance for the Iberdrola, E.ON Energy, Unión Fenosa and EDP Energy of Portugal generators. However based on a short-term perspective, the results report a positive effect between the quantities traded by hydraulic and thermal technologies on the electricity price for Endesa, Iberdrola, Hidroelétrica del Cantábrico and EDP Energy of Portugal, at a 1% level of significance.