DIMENSION - A Dispatch and Investment Model for European Electricity Markets

A linear energy system model is presented which optimises the future development of electricity generation capacities and their dispatch in Europe. Besides conventional power plants, combined heat and power plants and power storages, the model considers technologies that support the future high feed in of renewable energies. These technologies include demand side management processes and virtual power storages consisting of electric vehicles.Energy system model; European electricity markets; Combined heat and power; Demand Side Management; Battery electric vehicles

Analysing long-term interactions between demand response and different electricity markets using a stochastic market equilibrium model. ESRI WP585, February 2018

Power systems based on renewable energy sources (RES) are characterised by increasingly distributed, volatile and uncertain supply leading to growing requirements for flexibility. In this paper, we explore the role of demand response (DR) as a source of flexibility that is considered to become increasingly important in future. The majority of research in this context has focussed on the operation of power systems in energy only markets, mostly using deterministic optimisation models. In contrast, we explore the impact of DR on generator investments and profits from different markets, on costs for different consumers from different markets, and on CO2 emissions under consideration of the uncertainties associated with the RES generation. We also analyse the effect of the presence of a feed-in premium (FIP) for RES generation on these impacts. We therefore develop a novel stochastic mixed complementarity model in this paper that considers both operational and investment decisions, that considers interactions between an energy market, a capacity market and a feed-in premium and that takes into account the stochasticity of electricity generation by RES. We use a Benders decomposition algorithm to reduce the computational expenses of the model and apply the model to a case study based on the future Irish power system. We find that DR particularly increases renewable generator profits. While DR may reduce consumer costs from the energy market, these savings may be (over)compensated by increasing costs from the capacity market and the feed-in premium. This result highlights the importance of considering such interactions between different markets

Peer-to-peer and community-based markets: A comprehensive review

The advent of more proactive consumers, the so-called "prosumers", with production and storage capabilities, is empowering the consumers and bringing new opportunities and challenges to the operation of power systems in a market environment. Recently, a novel proposal for the design and operation of electricity markets has emerged: these so-called peer-to-peer (P2P) electricity markets conceptually allow the prosumers to directly share their electrical energy and investment. Such P2P markets rely on a consumer-centric and bottom-up perspective by giving the opportunity to consumers to freely choose the way they are to source their electric energy. A community can also be formed by prosumers who want to collaborate, or in terms of operational energy management. This paper contributes with an overview of these new P2P markets that starts with the motivation, challenges, market designs moving to the potential future developments in this field, providing recommendations while considering a test-case

Market Power in Pollution Permit Markets

As with other commodity markets, markets for trading pollution permits have not been immune to market power concerns. In this paper, I survey the existing literature on market power in permit trading but also contribute with some new results and ideas. I start the survey with Hahn’s (1984) dominant-firm (static) model that I then extend to the case in which there are two or more strategic firms that may also strategically interact in the output market, to the case in which current permits can be stored for future use (as in most existing and proposed market designs), to the possibility of collusive behavior, and to the case in which permits are auctioned off instead of allocated for free to firms. I finish the paper with a review of empirical evidence on market power, if any, with particular attention to the U.S. sulfur market and the Southern California NOx market.Market power, emissions trading, pollution permits, storable permits

The renewable energy targets of the Maghreb countries: Impact on electricity supply and conventional power markets

Morocco, Algeria and Tunisia, the three countries of the North African Maghreb region, are showing increased efforts to integrate renewable electricity into their power markets. Like many other countries, they have pronounced renewable energy targets, defining future shares of “green” electricity in their national generation mixes. The individual national targets are relatively varied, reflecting the different availability of renewable resources in each country, but also the different political ambitions for renewable electricity in the Maghreb states. Open questions remain regarding the targets’ economic impact on the power markets. Our article addresses this issue by applying a linear electricity market optimization model to the North African countries. Assuming a competitive, regional electricity market in the Maghreb, the model minimizes dispatch and investment costs and simulates the impact of the renewable energy targets on the conventional generation system until 2025. Special emphasis is put on investment decisions and overall system costs.North Africa; Renewable energy sources; Electricity markets

Causes and Consequences of Rising Food Prices

Since mid 2007 there has been a dramatic rise in prices for basic foods such as internationally traded varieties of rice, corn and wheat. At the moment, it is rather impossible to estimate how far speculation in the commodity markets has contributed to this development. Irrespective of this, a long-term solution to present and future supply shortfalls, including investment in more efficient agro-technologies and infrastructures is required. This is a matter for the international community which should continue to promote the abolition of international trade barriers in the agricultural sector in addition to local measures to provide structural aid. Hoped-for structural change may however be impeded if agricultural producers are exposed both to the market power of trader demand and the supplier power of upstream suppliers. It therefore appears that controls on abuse of market power at an international level are urgently required in order to increase the efficiency of agricultural markets and ultimately to secure the food supply.Noisetraders, Trade liberalization, Vertical relations

House Prices and Rents: Socio-Economic Impacts and Prospects

We use New Zealand property data at the area unit (suburb) level to examine implied prospects for communities over time, and test whether these derived prospects have explanatory power relating to actual future outcomes. We also use the data to analyse whether disadvantaged communities face particular problems in relation to rental markets. Our results indicate that: capital gains and rental growth expectations historically have appeared reasonable in that they have not been suggestive of asset bubbles or other fad behaviour; derived capital gains and rental growth expectations have explanatory power both over actual future capital gains and actual future rental growth; and lower socio-economic areas face higher rental yields even after controlling for non-socio-economic factors than do high socio-economic areas.House prices; house rents; rental yields; capital gains; community prospects

Mark-to-Market Accounting and Liquidity Pricing

When liquidity plays an important role as in times of financial crisis, asset prices in some markets may reflect the amount of liquidity available in the market rather than the future earning power of the asset. Mark-to-market accounting is not a desirable way to assess the solvency of a financial institution in such circumstances. We show that a shock in the insurance sector can cause the current value of banks’ assets to be less than the current value of their liabilities so the banks are insolvent. In contrast, if historic cost accounting is used, banks are allowed to continue and can meet all their future liabilities. Mark-to-market accounting can thus lead to contagion where none would occur with historic cost accounting.Mark-to-market, Historical Cost, Incomplete Markets

Relationship between degree of efficiency and prediction in stock price changes

This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market hypothesis (EMH) in terms of the information of past price changes. The prediction power corresponds to the hit-rate, which is the rate of the consistency between the direction of actual price change and that of predicted one, calculated by the nearest neighbor prediction method (NN method) using the out-of-sample. In this manuscript, the Hurst exponent and the approximate entropy (ApEn) are used as the quantitative measurements of the degree of efficiency. The relationship between the Hurst exponent, reflecting the various time correlation property, and the ApEn value, reflecting the randomness in the time series, shows negative correlation. However, the average prediction power on the direction of future price change has the strongly positive correlation with the Hurst exponent, and the negative correlation with the ApEn. Therefore, the market index with less market efficiency has higher prediction power for future price change than one with higher market efficiency when we analyze the market using the past price change pattern. Furthermore, we show that the Hurst exponent, a measurement of the long-term memory property, provides more significant information in terms of prediction of future price changes than the ApEn and the NN method.Comment: 10 page

Applicability of the EWMA model to estimate the volatility of Istanbul stock exchange bonds and bills market

Calculations based on Volatility Forecasting Models are the leading research topics in today’s financial markets. Numerous volatility models exist to predict the future in financial markets, ranging from historical and forecasting models to conditional variance distributions. However, a consensus regarding which model presents the highest predictive power has not been reached. This study attempts to explore whether the EWMA model provides sufficient forecasting power towards predicting the volatilities of interest rates of the Government Debt Securities (GDS) traded in the Bonds and Bills Market. The daily volatilities of GDS with maturities of six and twelve months have been predicted by the EWMA Model at different coefficients of lambda. The significantly high reliability level of 0.99 attained by back testing of the calculated volatility forecasts supports the usability of EWMA model in determination of volatility estimates with respect to interest ratesEWMA, volatility, interest