The impact of renewable resources on price volatility in the European power markets
| Název práce v češtině: | Vliv obnovitelných zdrojů energie na cenovou volatilitu na evropských trzích s elektřinou |
|---|---|
| Název v anglickém jazyce: | The impact of renewable resources on price volatility in the European power markets |
| Klíčová slova: | spotová cena elektriny, cenová volatilita, obnovite\v{l}né zdroje energie, kvadratická variácia, spojitá volatilita, heterogénny autoregresívny model |
| Klíčová slova anglicky: | electricity spot market, price volatility, renewable energy sources, quadratic variation, continuous volatility, heterogeneous autoregressive model |
| Akademický rok vypsání: | 2016/2017 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | prof. PhDr. Ladislav Krištoufek, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 09.11.2016 |
| Datum zadání: | 09.11.2016 |
| Datum a čas obhajoby: | 18.09.2017 09:00 |
| Místo konání obhajoby: | Opletalova - Opletalova 26, O105, Opletalova - místn. č. 105 |
| Datum odevzdání elektronické podoby: | 30.07.2017 |
| Datum proběhlé obhajoby: | 18.09.2017 |
| Oponenti: | PhDr. Petra Luňáčková |
| Kontrola URKUND: | |
| Seznam odborné literatury |
| 1) Paraschiv, F., Erni, D., and Pietsch, R. (2014). The impact of renewable
energies on EEX day-ahead electricity prices. Energy Policy, 73:196 - 210. 2) Chan, K. F., Gray, P., and van Campen, B. (2008). A new approach to characterizing and forecasting electricity price volatility. International Journal of Forecasting, 24(4):728 - 743. Energy Forecasting. 3) Corsi, F. (2004). A simple long memory model of realized volatility. 4) Haugom, E., Westgaard, S., Solibakke, P. B., and Lien, G. (2011). Realized volatility and the infuence of market measures on predictability: Analysis of nord pool forward electricity data. Energy Economics, 33(6):1206 - 1215. 5) Jonsson, T., Pinson, P., and Madsen, H. (2010). On the market impact of wind energy forecasts. Energy Economics, 32(2):313 - 320. |
| Předběžná náplň práce v anglickém jazyce |
| Research question and motivation
The energy market has been substantially influenced by increasing production of renewable energy in recent years, which is now driving the market of energy commodities. Environmental trends supported by governments and the goals of the European Union are in favour of implementing more renewable sources of energy in the upcoming decades. However, these sources are weather sensitive and unpredictable, and therefore might cause instabilities in the grid and higher volatility of prices in the market. The prevailing view of current literature is that it drives prices down and causes higher variance on spot markets for electricity. Many researchers expect a surge in price volatility due to intermittent energy sources, however opinions differ in various works. Some claim a negative change in price variability in relation to the amount of renewable energy produced. The research question will be to further analyse the impact of renewable resources on price volatility, focusing on the European energy markets. Contribution One of the biggest risks for investors and energy companies in the energy market is high price volatility. The thesis will focus on European markets, where usage of renewables is expected to increase in the future due to governmental interventions. Therefore, the contribution of the thesis will be answering the question of whether surging price variation may be caused by the increased usage of intermittent energy sources. Methodology Primarily, time series data on renewable energies production and prices of energy commodities will be used. For the Czech Republic, this data is available from ENTSOE-Transparency and OTE. Hourly data for German electricity prices can be gathered from the European Energy Exchange. A regression analysis will be conducted, with adjustment for commodity prices and weather conditions. Outline 1. Introduction 2. Insight into energy market 3. Literature review 4. Data description 5. Methodology 6. Empirical results 7. Conclusion |