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    Australia (2)
    Electricity prices (2)Asymmetric effects (1)Clustering groups approach (1)National Electricity Market (1)View MoreJournal
    Energy Economics (2)
    AuthorsApergis, Nicholas (2)Apergis, Nicholas (1) ccBaruník, Jozef (1)Fontini, Fulvio (1)Inchauspe, Julian (1)View MoreYear (Issue Date)2016-07-19 (1)2017-06-22 (1)TypesArticle (2)

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    Good volatility, bad volatility: what drives the asymmetric connectedness of Australian electricity markets?

    Apergis, Nicholas; Baruník, Jozef; Lau, Chi Keung Marco (Elsevier, 2017-06-22)
    Efficient delivery of network services and the electricity infrastructure to meet the long-term consumer's interests are the main objectives and the strategies of a national electricity market, while the main interests of generators are to maximize their profit through pricing strategies. Therefore, the objective of this study is to explore whether electricity prices across the four Australian States display symmetric price volatility connectedness. The study is the first attempt in the literature to make use of intraday 5-min Australian dispatch electricity prices, spanning the period December 8th, 1998 to May 5th, 2016 to quantify asymmetries in volatility connectedness emerging from good, and bad volatility. The results provide supportive evidence that the Australian electricity markets are connected asymmetrically implying the presence of some degree of market power that is exercised by generators across regional electricity markets.
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    Integration of regional electricity markets in Australia: a price convergence assessment

    Apergis, Nicholas; Fontini, Fulvio; Inchauspe, Julian (Elsevier, 2016-07-19)
    From an electricity market design perspective, it is relevant and practical to know which market structures allow for price convergence, and how long this takes to achieve. This study employs the Phillips and Sul (2007, 2009) methodology to test for the convergence of wholesale electricity prices across the Australian States. We identify a long-run, common price growth pattern that applies to a cluster formed by three Eastern States that share common market characteristics and limited physical interconnection. We also find another cluster with less competitive market structures that, although not interconnected, strongly converge towards their own trend. These findings confirm theoretical expectations while quantifying the rate of convergence. Finally, we also investigate the role that the carbon tax regime has played in the convergence process, with new empirical showing that the previous results are not affected, with the notable exception being the case of South Australia.
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