Integration of regional electricity markets in Australia: A price convergence assessment

Apergis, Nicholas; Fontini, Fulvio; Inchauspe, Julian

doi:10.1016/j.eneco.2016.06.022

Cited by 35 publications

(25 citation statements)

References 15 publications

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“…According to Higgs (2009), the Australian electricity markets are characterized by the limitations of the interconnectors across the member states, indicating that the Australian regional electricity markets are relatively isolated. The absence of convergence has been also confirmed by the study of Apergis et al (2017). It is generally accepted that in electricity markets, supply or demand shocks, say due to the presence of unexpected outages of generation units or transmission constraints cannot be fully compensated in the short run.…”

Section: Introductionmentioning

confidence: 79%

“…It is generally accepted that in electricity markets, supply or demand shocks, say due to the presence of unexpected outages of generation units or transmission constraints cannot be fully compensated in the short run. As a result, sudden jumps in prices (i.e., spikes) usually occur, especially in the cases when reserve capacity is limited, which is the case for electricity markets across Australia (Apergis et al, 2017). Given that the electricity market is perceived to have a high level of exposure to external shocks, such market contains significant market risk level.…”

Section: Introductionmentioning

confidence: 99%

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Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?

2017

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Efficient delivery of network services and the electricity infrastructure to meet the long-term consumer's interests are the main objectives and the strategies of a national electricity market, while the main interests of generators are to maximize their profit through pricing strategies. Therefore, the objective of this study is to explore whether electricity prices across the four Australian States display symmetric price volatility connectedness. The study is the first attempt in the literature to make use of intraday 5-minute Australian dispatch electricity prices, spanning the period December 8th, 1998 to May 5th, 2016 to quantify asymmetries in volatility connectedness emerging from good, and bad volatility. The results provide supportive evidence that the Australian electricity markets are connected asymmetrically implying the presence of some degree of market power that is exercised by generators across regional electricity markets.

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Section: Introductionmentioning

confidence: 79%

Section: Introductionmentioning

confidence: 99%

Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?

2017

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“…Electricity generation from renewables is already de-risked in SA through the renewable energy target, which not only offers a price subsidy, but also guarantees market share and sales. Apergis et al (2017b) note that SA's connection to the NEM network is very limited. Nepal and Foster (2016) also show the presence of a significant network constraint in the SA and VIC interconnector.…”

Section: Transmission Of Higher Moment Risks Across Marketsmentioning

confidence: 99%

Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis*

2020

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We examine the risk transmission mechanisms in the interconnected Australian National Electricity Market (NEM). We illustrate that the transmission of extreme events in terms of their magnitude (via skewness) and the likelihood of their occurrence (via kurtosis) should be considered when promoting NEM interconnectedness. Our empirical findings suggest that interconnectedness costs can be limited by providing sufficient transmission capacities as it can expand generation capacity. Our results suggest that a one percent increase in NEM generation capacity can decrease the transmission of these risks by between 0.9 percent and 1.7 percent, depending on the moment of the electricity return distribution.

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“…Most studies on electricity markets integration have involved studying the long-run spot price trends relationships between separate but physically interconnected liberalised markets such as in the US (e.g., Woo, Lloyd-Zanetti and Horowitz, 1997;De Vany andWalls, 1999 andDempster, Issacs andSmith, 2008); in Europe (see e.g., Zachmann, 2008;Castagneto-Gissey;Chaves and Fellani, 2014;Menezes and Houllier, 2014;Gugler et al 2018) and in Australia (Nepal and Foster, 2016;Apergis et al 2017a). Majority of these studies have used the bivariate and systems-based cointegration tests and Granger causality tests to test for long run price relationships (Woo, Lloyd-Zanetti and Horowitz, 1997;De Vany andWalls, 1999 andDempster, Issacs andSmith, 2008;Gugler et al 2018;Nepal and Foster, 2016).…”

Section: Literature Reviewmentioning

confidence: 99%

Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets

2020

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This study investigates the volatility connectedness between the Irish and Great Britain electricity markets and how it is driven by changes in energy policy, institutional structures and political ideologies. We assess various aspects of this volatility connectedness including static (unconditional) vs dynamic (conditional), symmetric vs asymmetric characteristics between 2009 and 2018. We find that volatility connectedness is time varying and is significantly affected by important events, policy reforms or market redesigns such as Brexit, oil price slump, increasing share of renewables, and fluctuations in the exchange rates. Our asymmetric analysis shows that the magnitude of the good volatility connectedness is marginally larger than that of the bad volatility connectedness. Our result suggests that good volatility levels would be even higher once the Irish market adopts the carbon price floor. Therefore, supporting renewable generation by setting an appropriate carbon price in interconnected wholesale electricity markets will improve market integration.

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Integration of regional electricity markets in Australia: A price convergence assessment

Cited by 35 publications

References 15 publications

Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?

Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?

Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis*

Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets

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