Kalantzis, Fotis and Sakellaris, Kostis (2012): Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices.
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This empirical study assesses the impact of specific regulatory policy measures, adopted in the Greek wholesale electricity market during the period 2004-2011, on the Day-Ahead Market Price. We consider an ARMA-GARCH model extended to include dummies and other exogenous variables that affect market prices, such as RES and Hydro electricity production, as well as load volumes and Brent crude oil prices. In order to analyse the impact of the regulatory reforms on price and volatility dynamics, we include regime dummy variables, reflecting the timeline of these reforms. Based on the results, we discuss the impact of the examined reforms and their significance.
|Item Type:||MPRA Paper|
|Original Title:||Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices|
|Keywords:||Electricity Market, Greek Wholesale Market, Regulatory Reform, Day-Ahead Price, GARCH|
|Subjects:||L - Industrial Organization > L5 - Regulation and Industrial Policy > L51 - Economics of Regulation
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Kostis Sakellaris|
|Date Deposited:||02. Apr 2012 11:57|
|Last Modified:||12. Feb 2013 20:01|
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