Powiązania spotowych cen energii elektrycznej - dynamiczna analiza sieciowa*
[Interconnectedness of spot electricity prices - a dynamic network analysis]

Guan 'Ella' Yan (Macquarie University, Sydney, Australia)


This study constructs dynamic Granger causality networks based on spot electricity 
prices of five regional markets in the Australian National Electricity Market 
(NEM). Based on a data set comprising electricity spot prices from 1 July 2010 to 
30 June 2017, we employ principal component analysis and generate Granger 
causality networks to examine the degree of interconnectedness of the NEM in a 
time-varying setting. We find that the derived measures of interdependence can be 
related to actual market events such as price spikes; unexpected high demand for 
electricity; sudden increase in price volatility; rebidding of dominant 
generators; the temporary or permanent outage of major power stations; as well as 
upgrades and limitations in transmission capacity. In the analysed network, we 
find that stronger dependence is exhibited by regional markets that are linked by 
interconnectors, while the direction of Granger causality can be related to 
interregional trade. Furthermore, this study examines the usefulness of the 
derived measures as early-warning indicators for upcoming periods of extreme 
prices and volatility. Overall, our results suggest rather limited predictive 
power of the interconnectedness measures for spot price behaviour in the NEM.

*Joint work with Stefan Trueck