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dc.contributor.authorWorthington, Andrewen_US
dc.contributor.authorKay-Spratley, Adamen_US
dc.contributor.authorHiggs, Helenen_US
dc.contributor.editorDerek Bunnen_US
dc.date.accessioned2017-04-24T12:44:11Z
dc.date.available2017-04-24T12:44:11Z
dc.date.issued2005en_US
dc.identifier.issn01409883en_US
dc.identifier.doi10.1016/j.eneco.2003.11.002en_US
dc.identifier.urihttp://hdl.handle.net/10072/16241
dc.description.abstractThis paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong ARCH and GARCH effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_US
dc.format.extent152210 bytes
dc.format.extent37842 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.languageEnglishen_US
dc.language.isoen_US
dc.publisherElsevieren_US
dc.publisher.placeGuildford, Engen_US
dc.relation.ispartofstudentpublicationNen_US
dc.relation.ispartofpagefrom337en_US
dc.relation.ispartofpageto350en_US
dc.relation.ispartofedition2005en_US
dc.relation.ispartofissue2en_US
dc.relation.ispartofjournalEnergy Economicsen_US
dc.relation.ispartofvolume27en_US
dc.rights.retentionYen_US
dc.subject.fieldofresearchcode340400en_US
dc.subject.fieldofresearchcode340403en_US
dc.titleTransmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysisen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.rights.copyrightCopyright 2005 Elsevier. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.en_US
gro.date.issued2015-05-04T22:04:04Z
gro.hasfulltextFull Text


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