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Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1645712

Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models

Kun Li ; Business School, Beijing Normal University, Beijing, China
Joseph D. Cursio ; Stuart School of Business, Illinois Institute of Technology, Chicago, IL, USA; Goodwin School of Business, Benedictine University, Lisle, IL, USA
Yunchuan Sun ; Business School, Beijing Normal University, Beijing, China
Zizheng Zhu ; School of Economics, Nankai University, Tianjin, China

Puni tekst: engleski, pdf (2 MB) str. 2404-2421 preuzimanja: 62* citiraj
APA 6th Edition
Li, K., D. Cursio, J., Sun, Y. i Zhu, Z. (2019). Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models . Economic research - Ekonomska istraživanja, 32 (1), 2404-2421. https://doi.org/10.1080/1331677X.2019.1645712
MLA 8th Edition
Li, Kun, et al. "Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models ." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 2404-2421. https://doi.org/10.1080/1331677X.2019.1645712. Citirano 05.04.2020.
Chicago 17th Edition
Li, Kun, Joseph D. Cursio, Yunchuan Sun i Zizheng Zhu. "Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models ." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 2404-2421. https://doi.org/10.1080/1331677X.2019.1645712
Harvard
Li, K., et al. (2019). 'Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models ', Economic research - Ekonomska istraživanja, 32(1), str. 2404-2421. https://doi.org/10.1080/1331677X.2019.1645712
Vancouver
Li K, D. Cursio J, Sun Y, Zhu Z. Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models . Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 05.04.2020.];32(1):2404-2421. https://doi.org/10.1080/1331677X.2019.1645712
IEEE
K. Li, J. D. Cursio, Y. Sun i Z. Zhu, "Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models ", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 2404-2421, 2019. [Online]. https://doi.org/10.1080/1331677X.2019.1645712

Sažetak
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.

Ključne riječi
Price fluctuation; principal component analysis; NARDL; electricity market; spike price; negative price

Hrčak ID: 229549

URI
https://hrcak.srce.hr/229549

Posjeta: 108 *