标题： 澳大利亚市场区域电力现货价格的计量经济学建模 显示英文标题

标题： Econometric Modeling of Regional Electricity Spot Prices in the Australian Market

摘要： 电力批发市场正通过高压互连线路日益整合，区域间的电力贸易也在增长。 为了建模这一现象，我们考虑了一个价格形成的空间均衡模型，在这个模型中，跨区域流动的约束导致了三种不同的价格均衡状态。 我们利用这一点来推动一个计量经济学模型的发展，该模型用于描述观察到的电力现货价格分布，能够捕捉到许多独特的经验特征。 该计量经济学模型包含了供给函数和跨区域贸易成本函数，这些函数是通过贝叶斯单调回归平滑方法估计得出的。 采用copula多元时间序列模型来捕捉区域价格中存在的额外依赖性——包括横截面依赖性和序列依赖性。 边际分布是非参数化的，均值由回归均值给出。 该模型的优点在于保留了价格预测密度的重尾特性。 我们将该模型应用于澳大利亚国家电力市场五个互联区域的半小时现货电价数据。 然后使用拟合好的模型来衡量一个区域内的供给和价格冲击如何在随后的各期中传播到所有区域的价格分布中。 最后，为了验证我们的计量经济学模型，我们展示了使用所提出的模型预测的价格与一些基准替代方案相比具有更好的表现。 显示英文摘要

摘要： Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on inter-regional flows result in three distinct equilibria in prices. We use this to motivate an econometric model for the distribution of observed electricity spot prices that captures many of their unique empirical characteristics. The econometric model features supply and inter-regional trade cost functions, which are estimated using Bayesian monotonic regression smoothing methodology. A copula multivariate time series model is employed to capture additional dependence -- both cross-sectional and serial-- in regional prices. The marginal distributions are nonparametric, with means given by the regression means. The model has the advantage of preserving the heavy right-hand tail in the predictive densities of price. We fit the model to half-hourly spot price data in the five interconnected regions of the Australian national electricity market. The fitted model is then used to measure how both supply and price shocks in one region are transmitted to the distribution of prices in all regions in subsequent periods. Finally, to validate our econometric model, we show that prices forecast using the proposed model compare favorably with those from some benchmark alternatives.