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

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

Selim Yılıdırım S Fatih Kostakoğlu Fatih Temizel

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

Keywords

Electricity Market, Wavelet Stationairty Approach, Nason Test

Nordik Ülkeleri Spot Elektirik Piyasalarında Şokların Geçiciliği: Dalgacık Durağanlık Yaklaşımı

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

Keywords

Elektrik Piyasası, Dalgacık Durağanlık Yaklaşımı, Nason Testi

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