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Three Essays On Electricity Pricing, Congestion, And Market Efficiency, Yu Zou
Three Essays On Electricity Pricing, Congestion, And Market Efficiency, Yu Zou
Legacy Theses & Dissertations (2009 - 2024)
In the first chapter, I analyze the price variations among zones in the electricity forward market of New York State, and how electricity forward prices react to the economic risks in the market. It applies a VAR model with monthly/holiday dummies and weather data to forecast the three components of electricity prices--energy price, marginal cost of congestion and losses. The GARCH estimates of the conditional variance of the VAR residuals are treated as risks. We find that participants will bid higher price in the forward market when they expect higher risks. Particularly, the risk of congestion has a larger effect …