Show simple item record

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

dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2010-05-26T10:11:44Z
dc.date.available2010-05-26T10:11:44Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4219
dc.language.isoenen
dc.subjectPrixen
dc.subjectElectricity spot pricesen
dc.subjectCarbon Pollution Reduction Schemeen
dc.subjectEmissions tradingen
dc.subject.ddc333en
dc.subject.classificationjelQ49en
dc.subject.classificationjelQ41en
dc.subject.classificationjelQ43en
dc.titleThe impact of Australian ETS news on wholesale spot electricity prices : an exploratory analysisen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameEnergy Policy
dc.relation.isversionofjnlvol38en
dc.relation.isversionofjnlissue8en
dc.relation.isversionofjnldate2010-08
dc.relation.isversionofjnlpages3910-3921en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.enpol.2010.03.014en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record