In this paper we propose a jump diffusion type model which recovers the main characteristics of electricity spot price dynamics, including seasonality, mean reversion, and spiky behavior. Calibration of the market price of risk allows for pricing of Asian-type options written on the spot...

We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market...

The United Kingdom began deregulating its electric market years before the U.S. Thus, the UK provides the best example of what can be expected in the deregulated residential retail electric market in the United States. . An extensive review of the evidence found: Questionable price savings:...

This paper examines the efficiency implications of regulated demand price of 93 octane petrol relative to OPEC crude oil price across 183 Namibian localities in 1991. It describes briefly pricing problems associated with managing petroleum and petro-products. Assuming that demand price depends...

China’s growing demand for oil is significantly changing the international geopolitics of energy, especially in the Asian Pacific region. The recent growth in oil consumption, combined with forecasts of increased oil imports (especially from the Middle East), have led to deep concern among...

Sharp price fluctuations and increasing environmental and distributional concerns, among other issues, have led to a renewed academic interest in energy demand. In this paper we estimate, for the first time in Spain, an energy demand system with household microdata. In doing so, we tackle...

This paper investigates the effect of capacity constraints on the sustainability of collusion in markets subject to cyclical demand fluctuations. In the absence of capacity constraints (i.e. a limiting case of our model), Haltiwanger and Harrington (1991) show that firms find it more difficult...

We study non-linear Markov perfect equilibria in a two agent linear quadratic differential game. In contrast to the literature owing to Tsutsui and Mino (1990), we do not associate endogenous subsets of the state space with candidate solutions. Instead, we address the problem of unbounded-below...

Accumulating microeconomic evidence points both to firm level adjustment lumpiness and to the significant influence of idiosyncratic disturbances. Do these matter for aggregate fluctuations, or do their effects largely vanish upon aggregation? This paper explores the implications of local...