Scandinavian Working Papers in Economics
Working Papers in Economics,
University of Gothenburg, Department of Economics
No 327: Market Structure and the Stability and Volatility of Electricity Prices
Mikael Bask () and Anna Widerberg ()
Additional contact information
Mikael Bask: Department of Economics, Stanford University, Postal: Landau Economics Building, 579 Serra Mall, Stanford, CA 94305-6072, U.S.A.
Anna Widerberg: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: Box 640, SE 40530 GÖTEBORG
Abstract: By using a novel approach in this paper,(lambda,sigma²)-analysis, we have found that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased. That electricity prices at Nord Pool have been generated by a stochastic dynamic system that most often has become more stable during the step-wise integration of the Nordic power market means that this market is less sensitive to shocks after the integration process than it was before this process. This is good news.
Keywords: Electricity Prices; GARCH Models; Lyapunov Exponents; Market Structure; Reconstructed Dynamics; Stability; Volatility
40 pages, November 6, 2008
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