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Structural Breaks, Increasing Volatility and Efficiency Loss

By Livingstone Senyonga

Structural Breaks, Increasing Volatility and Efficiency Loss

By Livingstone Senyonga

0 - Default Title
Description
This study seeks to find out whether there are signs of stress in the Nordic electricity market during the financial crisis period. We use an ARIMAX specification to investigate structural breaks in series of electricity spot price and prices of forward contracts obtained from Nord Pool. Using recursive estimation of Quandt Likelihood Ratio F-statistics we date significant structural breaks in the spot price and long term contract prices but insignificant in prices of short term contracts and electricity consumption series. Dummy variable estimation shows that weather changes are more important for structural breaks in spot price while economic variables are responsible for breaks in contract prices. Using a Generalized Autoregressive Conditional Heteroskedasticity model and volatility clustering graphs, we identify significant increases of volatility in the spot price and long term contract prices but insignificant in short to medium term prices of contracts. Lastly, we use prices of weekly futures contracts and system prices at the purchase and delivery of the contracts to test whether Efficiency Market Hypothesis holds in the Nordic electricity market.
Product details
Binding:
Paperback
Number of Pages:
92
Release Date:
2025-11-03
Publication Date:
2025-11-03
Publisher:
LAP LAMBERT Academic Publishing
Languages:
Original: English
ISBN10:
620917793X
ISBN13:
9786209177934
Weight:
155 g
Height:
150 cm
Width:
220 cm
Thickness:
6 cm
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