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Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices

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  • Kalantzis, Fotis
  • Sakellaris, Kostis

Abstract

This empirical study assesses the impact of specific regulatory policy measures, adopted in the Greek wholesale electricity market during the period 2004-2011, on the Day-Ahead Market Price. We consider an ARMA-GARCH model extended to include dummies and other exogenous variables that affect market prices, such as RES and Hydro electricity production, as well as load volumes and Brent crude oil prices. In order to analyse the impact of the regulatory reforms on price and volatility dynamics, we include regime dummy variables, reflecting the timeline of these reforms. Based on the results, we discuss the impact of the examined reforms and their significance.

Suggested Citation

  • Kalantzis, Fotis & Sakellaris, Kostis, 2012. "Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices," MPRA Paper 37794, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:37794
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    References listed on IDEAS

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    Cited by:

    1. Maniatis, Georgios I. & Milonas, Nikolaos T., 2022. "The impact of wind and solar power generation on the level and volatility of wholesale electricity prices in Greece," Energy Policy, Elsevier, vol. 170(C).
    2. G. Papaioannou & P. Papaioannou & N. Parliaris, 2014. "Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market," Papers 1401.5452, arXiv.org.
    3. Polemis, Michael L. & Fafaliou, Irene, 2015. "Electricity regulation and FDIs spillovers in the OECD: A panel data econometric approach," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 110-123.
    4. Papaioannou, George P. & Dikaiakos, Christos & Dagoumas, Athanasios S. & Dramountanis, Anargyros & Papaioannou, Panagiotis G., 2018. "Detecting the impact of fundamentals and regulatory reforms on the Greek wholesale electricity market using a SARMAX/GARCH model," Energy, Elsevier, vol. 142(C), pages 1083-1103.

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    More about this item

    Keywords

    Electricity Market; Greek Wholesale Market; Regulatory Reform; Day-Ahead Price; GARCH;
    All these keywords.

    JEL classification:

    • L51 - Industrial Organization - - Regulation and Industrial Policy - - - Economics of Regulation
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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