دانلود رایگان مقاله ارزیابی کارایی بازار تحت قانون قیمت گذاری دوگانه برای بازار عمده فروشی

ABSTRACT

This study analyses the price dynamics of day-ahead and real-time electricity prices following the implementation of dual-pricing legislation in Turkey, to understand the legislation's impact on arbitrage opportunities and market efficiency. The convergence of prices between the day-ahead forward and the real-time markets analysed in order to determine whether persistent price differences between the two markets exist. Arbitrage opportunities exist if there is a persistent difference between prices in the day-ahead forward and real-time market. Markets are considered to be efficient if it is not possible for market participants to earn an excess profit through exploitation of price differences. Furthermore, we examined how the ex-post risk premium changes over time using rolling estimations and find that after the implementation of dual pricing, the risk premium increased significantly for day and peak hours where the demand is relatively higher compared to night hours. As market participants have more experience regarding the dynamics of the market, the difference between realtime and day-ahead forward prices converges to zero since the dual-pricing regime enforce market participants to forecast accurately by punishing the forecast error.

6. Conclusion and policy implications

This study finds that real-time prices are found to be significantly lower than day-ahead prices after the implementation of dual pricing regime showing a positive risk premium in day-ahead market especially for the day and peak hours where the demand is relatively high compared to night hours.

Dual imbalance pricing regime is a policy tool that is currently being used in Turkey (as well as other countries such as Netherlands, England etc.) in order to incentivise market participants to minimize their imbalances by discouraging market participants seeking arbitrage opportunities by making it unattractive for them to make false bids or offers since these could harm system security. False bids or offers could harm short-term system security, for example by implying greater capacity in the market than actually exists.

While dual pricing increases the short-term system security by discouraging participants to seek arbitrage opportunities by making it unattractive for them to make false bids or offers, this study found that it also created a persistent difference between day-ahead and spot electricity prices (risk premium) which implies a market inefficiency. This study finds that there are significant positive forward premium exists in Turkish electricity market. The presence of a forward premium in the day-ahead market is statistically significant for 19 of the 24 h and all has a positive risk premium, indicating that day-ahead market prices are persistently higher than real-time prices. The existence of positive risk premium implies the existence of profitable trading strategies (arbitrage opportunities) in Turkish electricity market.