RESEARCH INTEREST:
Energy Economics
Time Series Analysis
My CV cv.pdf
PUBLISHED PAPERS:
“Market Structure and the Stability and Volatility of Electricity Prices” (2009)
Energy Economic, Volume 31 (2), 15 March 2009. Pages 278-288 (with Bask, M)
Working paper version
By using a novel approach in this paper,(lambda,sigma²)-analysis, we have found that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased. That electricity prices at Nord Pool have been generated by a stochastic dynamic system that most often has become more stable during the step-wise integration of the Nordic power market means that this market is less sensitive to shocks after the integration process than it was before this process. This is good news.
"The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent” (2006)
Physica A: Statistical Mechanics and its Applications, Volume 376, 15 March 2007 Pages 565-572 (with Bask, M & Liu, T) Working paper version
The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic) dynamics. The data set used is spot electricity prices from the Nordic power exchange market. Nord Pool, and the dynamic system that generates these prices appears to be chaotic in one case.
WORKING PAPERS:
"The impact of the EU ETS on CO2 intensity in the electricity generation” (2009)
Working Papers in Economics nr , Department for Economics, Göteborg University (with Wråke, M) [ ]
Ahead of the launch of the EU Emissions Trading System (EU ETS) in 2005, the electricity sector was widely claimed to have more low cost emission abatement opportunities than other sectors. If this were true, effects of the EU ETS on carbon dioxide (CO2) emissions would likely be visible in the electricity sector. We study the effect of the price of emission allowances (EUA) on CO2 emissions from Swedish electricity generation, using an econometric time series analysis for the period 2004-2008. We control for effects of other input prices and hydro power reservoir levels. Our results do not indicate any link between the price of EUA and the CO2 emissions of Swedish electricity production. A number of reasons which may explain this result are discussed and we conclude that other determinants of fossil fuel use in Swedish electricity generation likely diminish the effects of the EU ETS.
"The Stability and Volatility of Electricity Prices: An illustration of (l, s2) - Analysis” (2007)
Working Papers in Economics nr 267, Department for Economics, Göteborg University (with Bask, M) [download]
The aim of this letter is to discuss and illustrate what we call (lambda, sigma-2)analysis, which is a method to distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is also emphasized that this method is able to generate new research questions for economic theory. The data set used in an empirical illustration is spot electricity prices from Nord Pool.
“The Swedish Green Certificate system: some simple analytical results”
The aim of this article is to investigate the swedish electricity market, taking to account both the Green Certi.cates and C02-emission permits. We formulate a simple static model to study the relationship between these markets with assumptions close to the existing market, both with and without allowing for trady in CO2-emission permits. The model is tested with comparative statics.