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Transience of Shocks in Nordic Spot Electricity Markets: Wavelet Stationarity Approach

Year 2016, Volume: 11 Issue: 2, 251 - 268, 01.08.2016

Abstract

In this study, behavior of spot electricity prices against the shock in Denmark, Finland, Sweden, Norway which have a large share of the Nordic electricity market are investigated. The series include 1024 observations as a daily frequency between 22.04.2013 and 09.02.2016. SE1, SE2, SE3 and SE4; FI; DK1, DK2 display spot electricity prices respectively in Sweden, Finland and Denmark. Also; Oslo, Kr.sand, Bergen Molde, Tr.heim ve Tromsa show spot electricity prices in Norway. The findings at the end of analysis indicate that series are not stationary and shocks have permanent impact on the series. Empirical findings of the Nason test shows regions that economics shocks have permanent impact on the series

References

  • Amundsen, E. S., Bergman, L. And Andersson, B. (1998). Competiton and Prices on the Emerging Nordic Electricity Market. Stockholm School of Economics, SSE/EFI Working Paper Series in Economics and Finance 217, 1-11.
  • Aslan A., Apergis N., Yıldırım S. (2014) Causality between energy consumption and GDP in the U.S.: evidence from wavelet analysis, Frontiers in Energy 8(1), 1-8.
  • Benjamin Y., Hochberg Y. (1995) Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing, Journal of the Royal Statististical Society: Series B (Statistical Methodology), 57(1), 289-300.
  • Bergman, L. (2002). The Nordic Electricity Market- Continued Success or Emerging Problems?. Swedish Economic Policy Review, 9, 51-58.
  • Bierbrauer, M., Menn, C., Rachev, S. T. and Trück, S. (2007). Spot and Derivative Pricing in the EEX Power Market, Journal of Banking and Finance, 31 (11), 3462- 3485.
  • Botterud, A., Kristiansen, T. and Ilic, M. D. (2010). The Relationship between Spot and Futures Prices in the Nord Pool Electriciiiiiy Market. Energy Economics, 32 (5), 967-978.
  • Bradley A. W. (2003) Shift-invariance in the Discrete Wavelet Transform,Proc. VIIth Digital Image Computing: Techniques and Applications, Sun C., Talbot H., Ourselin S. and Adriaansen T. (Eds.), 10-12 Dec. 2003, Sydney
  • Dahlhaus R. (1997) Fitting Time Series Models to Nonstationary Processes, The Annals of Statistics, 25, 1-37.
  • Dahlhaus R., Polonik W. (2006) Nonparametric Quasi Maximum Likelihood Estimation for Gaussian Locally Stationary Processes. The Annals of Statistics, 34, 2790-2824.
  • Dahlhaus R., Polonik W. (2009) Empirical Spectral Processes for Locally Stationary Time Series. Bernoulli, 15, 1-39.
  • Fan Y.; Gencay R. (2010) Unit root test with wavelets, Economic Theory, 26, 1005- 1331.
  • Hjalmarsson, E. (2000). Nord Pool: A Power Market Without Market Power. Göteborg University, Department of Economics, Workin Paper in Economics No:28, 1-39.
  • Janczura, J. and Weron, R. (2010). An Empiricial Comparison of Alternate RegimeSwitching Models for Electricity Spot Prices. Energy Economics, 32 (5), 1059-1073.
  • Janczura, J., Trück, S., Weron, R. And Wolf, R. C. (2013). Identifying Spikes and Seasonal Components in Electricity Spot Price Data: A Guide to Robust Modeling. Energy Economics, 38, 96-110.
  • Koopman, S. J., Ooms, M. and Carnero, M. A. (2007). Periodic Seasonal RegARFIMA-GARCH Models for Daily Electricity Spot Prices. Journal of the American Statistical Association, 102(447), 16-27.
  • Lee D.T.L, Yamamoto A. (1994) Wavelet Analysis: Theory and Applications, HewlettPackard Journal, Dec-1994, 44-45.
  • Liebl, D. (2013). Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective. The Annals of Applied Statistics, 7(3), 1562-1592.
  • Mallat S.G., Zhong S. (1992) Characterisation of signals from multiscale edges, IEEE Transactions of Pattern Analysis and Machine Intelligence, 14(7), 710-732.
  • Mallat S. G. (1989) A theory for multiresolution signal decomposition: the wavelet representation. IEEE Transactions on Pattern Analysis and Machine Intellignece, 2, 674-693.
  • Mallat S. G. (1998) A Wavelet Tour of Signal Processing.
New York: Academic, 1998.
  • Nason G. P. (2013) A Test for Second-order Stationarity and Approximate Confidence Intervals for Localized Autocovariances for Locally Stationary Time Series, Journal of the Royal Statististical Society: Series B (Statistical Methodology), 75(5), 879-904.
  • Nason G. P., von Sachs R., Kroisandt G. (2000) Wavelet Process and Adaptive Estimation of Evolutionary Wavelet Spectrum, Journal of the Royal Statististical Society: Series B (Statistical Methodology), 62(2), 271-292.
  • Paraschiv, F., Fleten, S. E. and Schürle, M. (2015). A Spot-Forward Model for Electricity Prices with Regim Shifts. Energy Economics, 47, 142-153.
  • Sağlam, B. (2012). Monopolden Emtia Piyasasına: Emtia Piyasası Yaklaşımıyla Elektrik Piyasalarındaki Dönüşüm Sürecinin Rekabetçi analizi. Rekabet Kurumu Uzmanlık Tezi, Uzmanlık Tezleri Serisi No:134.
  • Salimath C. (2011) Wavelets – A Brief Introduction to Theory and Applications: A beginners guide to Wavelets, LAP LAMBERT Academic Publishing.
  • Starck J.-L., Fadili J., Murtagh F. (2007) The Undecimated Wavelet Decomposition and its Reconstruction, IEEE Transactions on Image Processing, 16(2), 297-309.
  • Strang G. (1993) Wavelet Transforms versus Fourier Transforms, Bulletin of the American Mathematical Society 28(2), 288-305.
  • Strang G., Nguyen T. (1996) Wavelets and Filter Banks. Wellesley-Cambridge Press. Weron, R., Bierbrauer, M. and Trück, S. (2004). Modeling Electricity Prices: Jump Diffusion and Regime Switching. Physics A, 336, 39-48.
  • Weron, R., Simonsen, I. and Wilman, P. (2004). Modeling Highly Volatile and Seasonal Markets: Evidence From the Nord Pool Electricity Market. The Application of Econophysics. (Ed: H. Takayasu). Springer, Book Part I, 182-191.
  • Woodward W.A., Gray H.L., Elliott A.C. (2011) Applied Time Series Analysis, CRC press
  • Yang J., Park S.-T. (2003) An Anti-Aliasing Algorithm for Discrete Wavelet Transform, Mechanical Systems and Signal Processing, 17(5), 945-954.

Nordik Ülkeleri Spot Elektirik Piyasalarında Şokların Geçiciliği: Dalgacık Durağanlık Yaklaşımı

Year 2016, Volume: 11 Issue: 2, 251 - 268, 01.08.2016

Abstract

Bu çalışmada İskandinav elektrik piyasasında büyük paya sahip olan Danimarka, Finlandiya, İsveç ve Norveç’e ait on üç spot piyasada elektrik fiyatlarının herhangi bir şok karşısındaki davranışı Neson Durağanlık Testiyle incelenmiştir. Kullanılan seriler günlük sıklıkta olup 22.04.2013 tarihinden 09.02.2016 tarihine kadar bin yirmi dört gözlem içermektedir. SE1, SE2, SE3 VE SE4 İsveç’teki spot elektrik fiyatlarını; FI Finlandiya’da, DK1, DK2 Danimarka’daki ilgili spot elektrik fiyatlarını ifade etmektedir. Ayrıca Oslo, Kr.sand, Bergen Molde, Tr.heim ve Tromsa Norveç’teki spot elektrik fiyatlarını göstermektedir. Analiz sonucunda elde edilen bulgular serilerin durağan olmadığını ve şokların seri üzerinde kalıcı etkisi olduğu yönündedir. Nason testinin ampirik bulguları, tüm serilerde ekonomik şokun kalıcı olduğu bölgelerin mevcut olduğu yönündedir

References

  • Amundsen, E. S., Bergman, L. And Andersson, B. (1998). Competiton and Prices on the Emerging Nordic Electricity Market. Stockholm School of Economics, SSE/EFI Working Paper Series in Economics and Finance 217, 1-11.
  • Aslan A., Apergis N., Yıldırım S. (2014) Causality between energy consumption and GDP in the U.S.: evidence from wavelet analysis, Frontiers in Energy 8(1), 1-8.
  • Benjamin Y., Hochberg Y. (1995) Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing, Journal of the Royal Statististical Society: Series B (Statistical Methodology), 57(1), 289-300.
  • Bergman, L. (2002). The Nordic Electricity Market- Continued Success or Emerging Problems?. Swedish Economic Policy Review, 9, 51-58.
  • Bierbrauer, M., Menn, C., Rachev, S. T. and Trück, S. (2007). Spot and Derivative Pricing in the EEX Power Market, Journal of Banking and Finance, 31 (11), 3462- 3485.
  • Botterud, A., Kristiansen, T. and Ilic, M. D. (2010). The Relationship between Spot and Futures Prices in the Nord Pool Electriciiiiiy Market. Energy Economics, 32 (5), 967-978.
  • Bradley A. W. (2003) Shift-invariance in the Discrete Wavelet Transform,Proc. VIIth Digital Image Computing: Techniques and Applications, Sun C., Talbot H., Ourselin S. and Adriaansen T. (Eds.), 10-12 Dec. 2003, Sydney
  • Dahlhaus R. (1997) Fitting Time Series Models to Nonstationary Processes, The Annals of Statistics, 25, 1-37.
  • Dahlhaus R., Polonik W. (2006) Nonparametric Quasi Maximum Likelihood Estimation for Gaussian Locally Stationary Processes. The Annals of Statistics, 34, 2790-2824.
  • Dahlhaus R., Polonik W. (2009) Empirical Spectral Processes for Locally Stationary Time Series. Bernoulli, 15, 1-39.
  • Fan Y.; Gencay R. (2010) Unit root test with wavelets, Economic Theory, 26, 1005- 1331.
  • Hjalmarsson, E. (2000). Nord Pool: A Power Market Without Market Power. Göteborg University, Department of Economics, Workin Paper in Economics No:28, 1-39.
  • Janczura, J. and Weron, R. (2010). An Empiricial Comparison of Alternate RegimeSwitching Models for Electricity Spot Prices. Energy Economics, 32 (5), 1059-1073.
  • Janczura, J., Trück, S., Weron, R. And Wolf, R. C. (2013). Identifying Spikes and Seasonal Components in Electricity Spot Price Data: A Guide to Robust Modeling. Energy Economics, 38, 96-110.
  • Koopman, S. J., Ooms, M. and Carnero, M. A. (2007). Periodic Seasonal RegARFIMA-GARCH Models for Daily Electricity Spot Prices. Journal of the American Statistical Association, 102(447), 16-27.
  • Lee D.T.L, Yamamoto A. (1994) Wavelet Analysis: Theory and Applications, HewlettPackard Journal, Dec-1994, 44-45.
  • Liebl, D. (2013). Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective. The Annals of Applied Statistics, 7(3), 1562-1592.
  • Mallat S.G., Zhong S. (1992) Characterisation of signals from multiscale edges, IEEE Transactions of Pattern Analysis and Machine Intelligence, 14(7), 710-732.
  • Mallat S. G. (1989) A theory for multiresolution signal decomposition: the wavelet representation. IEEE Transactions on Pattern Analysis and Machine Intellignece, 2, 674-693.
  • Mallat S. G. (1998) A Wavelet Tour of Signal Processing.
New York: Academic, 1998.
  • Nason G. P. (2013) A Test for Second-order Stationarity and Approximate Confidence Intervals for Localized Autocovariances for Locally Stationary Time Series, Journal of the Royal Statististical Society: Series B (Statistical Methodology), 75(5), 879-904.
  • Nason G. P., von Sachs R., Kroisandt G. (2000) Wavelet Process and Adaptive Estimation of Evolutionary Wavelet Spectrum, Journal of the Royal Statististical Society: Series B (Statistical Methodology), 62(2), 271-292.
  • Paraschiv, F., Fleten, S. E. and Schürle, M. (2015). A Spot-Forward Model for Electricity Prices with Regim Shifts. Energy Economics, 47, 142-153.
  • Sağlam, B. (2012). Monopolden Emtia Piyasasına: Emtia Piyasası Yaklaşımıyla Elektrik Piyasalarındaki Dönüşüm Sürecinin Rekabetçi analizi. Rekabet Kurumu Uzmanlık Tezi, Uzmanlık Tezleri Serisi No:134.
  • Salimath C. (2011) Wavelets – A Brief Introduction to Theory and Applications: A beginners guide to Wavelets, LAP LAMBERT Academic Publishing.
  • Starck J.-L., Fadili J., Murtagh F. (2007) The Undecimated Wavelet Decomposition and its Reconstruction, IEEE Transactions on Image Processing, 16(2), 297-309.
  • Strang G. (1993) Wavelet Transforms versus Fourier Transforms, Bulletin of the American Mathematical Society 28(2), 288-305.
  • Strang G., Nguyen T. (1996) Wavelets and Filter Banks. Wellesley-Cambridge Press. Weron, R., Bierbrauer, M. and Trück, S. (2004). Modeling Electricity Prices: Jump Diffusion and Regime Switching. Physics A, 336, 39-48.
  • Weron, R., Simonsen, I. and Wilman, P. (2004). Modeling Highly Volatile and Seasonal Markets: Evidence From the Nord Pool Electricity Market. The Application of Econophysics. (Ed: H. Takayasu). Springer, Book Part I, 182-191.
  • Woodward W.A., Gray H.L., Elliott A.C. (2011) Applied Time Series Analysis, CRC press
  • Yang J., Park S.-T. (2003) An Anti-Aliasing Algorithm for Discrete Wavelet Transform, Mechanical Systems and Signal Processing, 17(5), 945-954.
There are 31 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Selim Yılıdırım This is me

S Fatih Kostakoğlu This is me

Fatih Temizel This is me

Publication Date August 1, 2016
Published in Issue Year 2016 Volume: 11 Issue: 2

Cite

APA Yılıdırım, S., Kostakoğlu, S. F., & Temizel, F. (2016). Nordik Ülkeleri Spot Elektirik Piyasalarında Şokların Geçiciliği: Dalgacık Durağanlık Yaklaşımı. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 11(2), 251-268.