Work detail

Three Essays on Electricity Markets

Author: Petra Luňáčková (7.3.2018)
Year: 2018 - summer
Leaders: prof. Ing. Karel Janda M.A., Dr., Ph.D.
Work type: Dissertations
Language: English
Pages: 109
Awards and prizes:
Abstract: This thesis consists of three papers that share the main theme - energy. The articles introduce characteristics and behavior of electricity focusing on its unique properties. The dissertation aims at the Czech electricity market and analyzes also highly discussed solar power plants.
The first article studies long term memory properties of electricity spot prices through the detrended fluctuation analysis, as electricity prices are dominated by cycles. We conclude that Czech electricity prices are strongly mean reverting yet non-stationary.
The second part of the dissertation investigates possible asymmetry in the gas - oil prices adjustment. Oil prices determine the price of electricity during the times of peak demand, as the reaction of power plants fueled by oil is quick but marginal costs are high. We chose the gasoline - crude oil relationship known as "rockets and feathers" eff ect and off er two new tests to analyze such type of relationship as we believe that error correction model is not the most suitable tool. Analyzing international dataset we do not find statistically signi cant asymmetry.
The third study assesses the impact of renewable energy sources, solar plants in particular, on the electricity spot prices, its goal is to verify the merit order e ect on Czech market data. We describe history and consequences of photovoltaic power plants boom in the Czech Republic. With the use of the instrumental variables method we show that merit order e ffect di ffers for various renewable sources. Czech solar plants cause no merit order eff ect which is in contradiction to the preferential treatment they enjoy. The merit order eff ect of other renewables is present, however, if compared to subsidies, it is not of substantial magnitude.
July 2018



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