Are Daily and Weekly Load and Spot Price Dynamics in Australia’s National Electricity Market Governed by Episodic Nonlinearity?

Wild, Phillip, Hinich, Melvin J. and Foster, John (2008). Are Daily and Weekly Load and Spot Price Dynamics in Australia’s National Electricity Market Governed by Episodic Nonlinearity?. Discussion Paper Series Discussion Paper No. 368, School of Economics, The University of Queensland.

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Author Wild, Phillip
Hinich, Melvin J.
Foster, John
Title Are Daily and Weekly Load and Spot Price Dynamics in Australia’s National Electricity Market Governed by Episodic Nonlinearity?
School, Department or Centre School of Economics
Institution The University of Queensland
Series Discussion Paper Series
Report Number Discussion Paper No. 368
Publication date 2008-06
Publisher The University of Queensland, School of Economics
Start page 1
End page 37
Total pages 37
Language eng
Subject 340202 Environment and Resource Economics
Abstract/Summary In this article, we use half hourly spot electricity prices and load data for the National Electricity Market (NEM) of Australia for the period from December 1998 to February 2008 to test for episodic nonlinearity in the dynamics governing daily and weekly cycles in load and spot price time series data. We apply the portmanteau correlation, bicorrelation and tricorrelation tests introduced in Hinich (1996) to the time series of half hourly spot prices and load demand from 7/12/1998 to 29/02/2008 using a FORTRAN 95 program. We find the presence of significant third and fourth order (non-linear) serial dependence in the weekly load and spot price data in particular, but to a much more marginal extent, in the daily data.
Keyword spot prices
electricity
energy markets
Australian spot electrocity prices
Australia
load effect

Document type: Working Paper
Collection: Discussion Papers (School of Economics)
 
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Created: Mon, 16 Jun 2008, 09:51:17 EST by Belinda Weaver on behalf of School of Economics