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2013 | OriginalPaper | Chapter

39. Fractional Integration Models for Italian Electricity Zonal Prices

Authors : Angelica Gianfreda, Luigi Grossi

Published in: Advances in Theoretical and Applied Statistics

Publisher: Springer Berlin Heidelberg

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Abstract

In the last few years we have observed an increasing interest in deregulated electricity markets. Only few papers, to the authors’ knowledge, have considered the Italian Electricity Spot market since it has been deregulated recently. This contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration, and congestions as well as extreme spiky behavior. We aim to understand how technologies, concentration, and congestions affect the zonal prices since all these combine to bring about the single national price (prezzo unico d’acquisto, PUN). Implementing Reg–ARFIMA–GARCH models, we draw policy indications based on the empirical evidence that technologies, concentration, and congestions do affect Italian electricity prices.

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Footnotes
1
The shares are defined by considering the volumes sold and/or offered (including those covered by Bilateral Contracts) by individual market participants aggregated on the basis of the group to which they belong.
 
2
The delivery periods for the Italian market refer to the following groups of hours: off peak 1 from 00.00 to 06.00 until the end of 2005 then from 2006 to 07.00; peak is from 07.00 (08.00 from 2006) to 22.00 (to 20.00 from 2006); off peak 2 from 23.00 (or 21.00 from 2006) to 24.00.
 
3
Similar dynamics are observed on other zones and are not reported for lack of space.
 
4
Contrary on expectations from Table 39.2, HHI is found to be significant and positive only in CSouth.
 
5
It is significant (with a negative sign) in some zones but it turns to be insignificant in some others, whereas it should always have a positive sign: when the HHI increases then the price increases as result of exercise of market power. These results are available on request.
 
6
This could be due to the presence of limited production poles which only inject electricity into the system then providing the necessary supply: Brindisi in the Southern zone and Rossano in Calabria.
 
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Metadata
Title
Fractional Integration Models for Italian Electricity Zonal Prices
Authors
Angelica Gianfreda
Luigi Grossi
Copyright Year
2013
Publisher
Springer Berlin Heidelberg
Book
Advances in Theoretical and Applied Statistics

Print ISBN: 978-3-642-35587-5

Electronic ISBN: 978-3-642-35588-2

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-3-642-35588-2_39

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