Structural Breaks, Increasing Volatility and Efficiency Loss
Livingstone Senyonga
Broschiertes Buch

Structural Breaks, Increasing Volatility and Efficiency Loss

In the Nordic Electricity Market: Will the Market Survive the Financial Crisis?

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This study seeks to find out whether there are signs of stress in the Nordic electricity market during the financial crisis period. We use an ARIMAX specification to investigate structural breaks in series of electricity spot price and prices of forward contracts obtained from Nord Pool. Using recursive estimation of Quandt Likelihood Ratio F-statistics we date significant structural breaks in the spot price and long term contract prices but insignificant in prices of short term contracts and electricity consumption series. Dummy variable estimation shows that weather changes are more importan...