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dc.contributor.advisorAsche, Frank
dc.contributor.authorSørås, Terje Jensen
dc.descriptionMaster's thesis in Industrial economicsnb_NO
dc.description.abstractThis thesis is investigating the level of market integration, as well as the volatility and inter-relationship in the Nordic spot market. The empirical analysis is using spot prices from 13 regions in the Nordic energy exchange. The purpose of the study is to find evidence of market integration between the system price and the regional price. Further, an assessment of the volatility in the regions will support the notion of market integration. A bivariate Autoregressive (AR) model is applied to the price series, and residuals is run through a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. Inference tests are run for hypothesis regarding dynamics and long run integration. The results show that Nord Pool is not perfectly integrated. The regions in Scandinavia show strong market integration with the system price. Low average price and a large, unpredictable price volatility is seen in all the regional prices in Norway, Sweden, Denmark, and Finland. The Baltic regions show signs of internal market power, indicating monopolistic production of electrical energy. The Baltic regions are not fully integrated with the system price. The results of the AR model support the findings of low market integration in the Baltic regions and high integration in Scandinavia. The persistence in the volatility effects in Scandinavia show that volatility in previous observations have a permanent effect on the volatility level today. For the Baltic regions, the persistence show a mean-reverting structure where volatile price movement dampen down until it reaches a stable equilibrium. Capacity constraints during bottleneck periods cause the area price to deviate from the system price. Better transmission capacity will lead to a closer integration between the markets within Nord Pool Spot (NPS).nb_NO
dc.publisherUniversity of Stavanger, Norwaynb_NO
dc.rightsNavngivelse 3.0 Norge*
dc.subjectNord Poolnb_NO
dc.subjectAR modelnb_NO
dc.subjectindustriell økonominb_NO
dc.subjectmarket integrationnb_NO
dc.subjectenergy pricesnb_NO
dc.subjectelectrical power marketnb_NO
dc.titleMarket integration and volatility in the Nordic energy exchangenb_NO
dc.typeMaster thesisnb_NO
dc.subject.nsiVDP::Social science: 200::Economics: 210nb_NO

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  • Studentoppgaver (TN-ISØP) [1064]
    Master- og bacheloroppgaver i Byutvikling og urban design / Offshore technology : risk management / Risikostyring / Teknologi/Sivilingeniør : industriell økonomi / Teknologi/Sivilingeniør : risikostyring / Teknologi/Sivilingeniør : samfunnssikkerhet

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Navngivelse 3.0 Norge
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