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The impact of Australian ETS news on wholesale spot electricity prices : an exploratory analysis

Chevallier, Julien (2010), The impact of Australian ETS news on wholesale spot electricity prices : an exploratory analysis, Energy Policy, 38, 8, p. 3910-3921. http://dx.doi.org/10.1016/j.enpol.2010.03.014

Type
Article accepté pour publication ou publié
Date
2010
Journal name
Energy Policy
Volume
38
Number
8
Publisher
Elsevier
Pages
3910-3921
Publication identifier
http://dx.doi.org/10.1016/j.enpol.2010.03.014
Metadata
Show full item record
Author(s)
Chevallier, Julien
Abstract (EN)
This article investigates the impact of news concerning the development of emissions trading in Australia (such as the Carbon Pollution Reduction Scheme (CPRS)) on wholesale electricity spot prices, by using a database of 117 news announcements from December 1, 1998 to July 1, 2009. As power producers constitute the bulk of the participants of the proposed Australian emissions trading scheme, regulatory changes (about allocation, banking, coverage, targets) are indeed likely to affect the five interconnected electricity markets in New South Wales, Queensland, South Australia, Victoria, and Tasmania. We assess these effects with an ARMA(1,1)-GARCH(1,1) model, where daily electricity spot prices are regressed against exogenous variables in the mean and variance equations. This article constitutes the first empirical analysis of Australian ETS news effects on electricity wholesale spot prices. Our results show two asymmetric types of news effects, depending on their information content.
Subjects / Keywords
Prix; Electricity spot prices; Carbon Pollution Reduction Scheme; Emissions trading
JEL
Q49 - Other
Q41 - Demand and Supply; Prices
Q43 - Energy and the Macroeconomy

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