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In this article, we provide a structured review of crude oil price dynamics. Specifically, we summarize evidence on important factors determining oil prices, cover the impact of oil market shocks o...

The shale gas developments over the last two decades have challenged the gas price linkage with crude oil. The decoupling of the US wholesale gas from oil markets is mainly attributed to the rapid development of unconventional production, which formed a regional natural gas market based on regional market fundamentals. Moreover, investments in exporting facilities in the US made more quantities available to the rest of the world making global integration more plausible. This paper provides empirical evidence on the price and volatility transmission among the main European (NBP and TTF) and the Japan-Korean Marker (JKM) gas markets with that of Brent crude oil market, a crude oil benchmark used in Europe and Asia. The paper provides evidence that there are no price spillovers among oil and gas in European gas hubs. The European markets, contrary to the JKM market, seem to be mature enough as in the case of the US gas market. Finally, the paper provides policy recommendations on key elements for establishing functional gas hubs.Keywords: natural gas and oil markets; price and volatility spillovers; Europe, JapanJEL Classifications: Q40, Q41, C5DOI: https://doi.org/10.32479/ijeep.9774

This study aims to re-investigate the long-run relationship among energy prices and economic growth within the periphery of the European Union. We rely on the Engle–Granger methodology to estimate a Vector-Error Correction Model. We also employ Variance Decomposition Analysis to estimate the causal effect of energy prices on economic growth. We provide evidence on the conservation hypothesis for the case of real GDP and residential electricity prices, as well as on the growth hypothesis for the case of real output and industrial electricity prices. The residential electricity sector exhibits the highest level of influence, as industrial electricity price and crude oil price “Granger cause” residential electricity prices. We also find signs of the feedback hypothesis concerning final energy consumption and residential electricity price. Lastly, the level of economic growth proxied by real GDP is strongly endogenous in the short-run, whereas shocks from other covariates seem to have a transitory effect.

This article explores the phenomenon of the enduring state control over the Russian natural gas sector. We suggest that explanations of the underlying motives can be classified under two broad theo...

This work aims to detect the impact of fundamentals and regulatory reforms on the Greek Wholesale Electricity Market, applying SARMAX/GARCH models. The System Marginal Price (SMP) is considered a stochastic, nonlinear process, reflecting not only the effects of endogenous/fundamental market factors but also the effects of exogenous variables including regulatory reforms, which also affect the market dynamics. To capture the dynamics of the conditional mean and volatility of SMP, a number of SARMAX/GARCH models have been estimated using as regressors an extensive set of fundamental factors in the Greek Electricity Market (GEM), as well as dummy variables that mimic the history of Regulator's interventions. The best-found model captures adequately the dependency of the spot price to the regulatory reforms. The findings reassure the typical sign and the magnitude of the effect of fundamentals, and detects successfully the impacts of the reforms. The most interesting finding is that the GEM does not exhibit asymmetries or leverage effect, in the volatility of its wholesale price, as the most European markets do. The outcome of this paper can be useful to a wide variety of GEM's participants and specifically to the decision makers in GEM.

This paper introduces a model that integrates a Unit Commitment (UC) model, which performs the simulation of the day-ahead electricity market, combined with an econometric model that estimates the income and price elasticities of electricity demand. The integrated model is further extended to estimate the retailers’ profitability with demand responsive consumers. The applicability of the proposed model is illustrated in the Greek day-ahead electricity market. The model is designed to identify the effects of demand responsiveness to the fluctuations of spot prices, based on their short-term price elasticities. It provides price signals on the profitability of retailers/demand aggregators, when forming their tariffs. We argue that the non-linearity between demand response and evolution of wholesale price, inherits risk for retailers. This finding could lead even to losses for some time periods, affecting strongly their viability. The model provides useful insights into the risk of retailers from their price responsive customers and therefore acts as a pivotal study to policy makers and government officials (i.e. regulators, transmission and distribution system operators) active in the electricity market.

This paper presents an integrated model for risk management of electricity traders. It integrates the Unit Commitment (UC) problem, which provides the power generation units' dispatch and the electricity price forecasting of a power system, with artificial neural network (ANN) models, which provide electricity price forecasting of a neighbouring power system by incorporating a clustering algorithm. The integrated model is further extended to estimate the traders' profitability and risk, incorporating risk provisions. The integrated model is applied in bi-directional trading between the Italian and Greek day-ahead electricity markets. The UC and neural network models provide forecasts of the wholesale electricity price in Greece and Italy respectively. The model attributes a confidence level of the price forecasts, depending on the data clustering and the forecasting performance of each model. The integrated model identifies periods with high price margins for trading for each power flow, aligned with a forecasting confidence and a risk level. The integrated model can provide price signals on the profitability of traders and useful insights into the risk of traders.

This paper presents a generic Mixed Integer Linear Programming (MILP) model that integrates a Mid-term Energy Planning (MEP) model, which implements generation and transmission system planning at a yearly level, with a Unit Commitment (UC) model, which performs the simulation of the Day-Ahead Electricity Market. The applicability of the proposed model is illustrated in a case study of the Greek interconnected power system. The aim is to evaluate a critical project in the Ten Year Network Development Plan (TYNDP) of the Independent Power Transmission System Operator S.A. (ADMIE), namely the electric interconnection of the Crete Island with the mainland electric system. The proposed modeling framework identifies the implementation (or not) of the interconnection of the Crete Island with the mainland electric system, as well as the optimum interconnection capacity. It also quantifies the effects on the Day-Ahead electricity market and on the energy mix. The paper demonstrates that the model can provide useful insights into the strategic and challenging decisions to be determined by investors and/or policy makers at a national and/or regional level, by providing the optimal energy roadmap and management, as well as clear price signals on critical energy projects under real operating and design constraints.

Traditionally, short-term electricity price forecasting has been essential for utilities and generation companies. However, the deregulation of electricity markets created a competitive environment and the introduction of new market participants, such as the retailers and aggregators, whose economic viability and profitability highly depends on the spot market price patterns. The aim of this study is to examine artificial neural network (ANN) based models for Day-ahead price forecasting. Specifically, the models refer to the sole application of ANNs or to hybrid models, where the ANN is combined with clustering algorithm. The training data are clustered in homogenous groups and for each cluster, a dedicated forecaster is employed. The proposed models are characterized by comprehensive operation and by high level of flexibility; different inputs can be taken under consideration and different ANN topologies can be examined. The models are tested on a data set that consists of atypical price patterns and many outliers. This approach makes the price forecasting problem a more challenging task, providing evidence that the proposed models can be considered as useful and robust forecasting tools to the actual needs of market participants, including the traditional generation companies and self-producers, but also the retailers/suppliers and aggregators.

We conduct an econometric analysis to investigate, the carbon pass-through in the Greek electricity sector. For this reason, we utilize a rich micro-level panel dataset, including hourly data for 24 thermal power plants spanning the period from January 2014 to December 2017. In order to study the pass-through of emissions costs to wholesale electricity prices, we employ an instrumental variable approach. Our findings survived several robustness checks, accounting for logged linear and non-linear econometric specifications. The empirical results indicate the existence of an almost complete pass-through, revealing that retailers fully internalize the cost of CO2 permits. This study incurs important policy implications, since the complete pass-through signify that wholesale electricity prices will increase at least in the short run. However, the overall effect on retail prices will be mostly affected by the amount of CO2 permits and the fuel energy mix.

The paper examines both the time-varying price and volatility transmission between US natural gas and crude oil wholesale markets, over the period 1990–2017. Short iterations suggest that neither commodity determines other’s returns, but sub-periods with very short-lived causal relationships exist. It can be asserted that the markets are decoupled, where unconventional production further enhances the already established commodities’ independence. Using Momentum Threshold Autoregressive (MTAR) cointegration methodology, we find evidence of positive asymmetry from crude oil to natural gas prices, i.e., oil price increases cause faster adjustments to natural gas prices than decreases. We also find that an 1% change of oil price has positive and significantly larger long-term impact (between 0.01% to 0.02%) to the gas price, compared to the negligible impact of gas to oil. Volatility transmission is examined using the Dynamic Conditional Covariance (DCC)-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methodology, presenting their time-varying correlation. Results show that both commodities influence each other’s volatility at the aggregate level. Finally, we conclude that both regional commodity markets are liquid and integrated, where the market fundamentals drive their price formulation. However, although markets are decoupled and not appropriate for perfect hedging of each other, the existence of bidirectional volatility transmission and their substitutability might be useful for diversified portfolio allocation.

The European Union formed a strategy with the Energy Union towards the delivery of secure, competitive, and sustainable energy. The Energy Union targets at a fully integrated internal energy market, which requires infrastructure, leaving market fundamentals to drive energy pricing. The European Union swifts to natural gas as its primary energy source. So far the natural gas supply has been conducted via inter-state pipelines and priced through oil-indexed contracts. In our research, we study whether there are price spillovers from oil to natural gas, and vice versa. This paper studies the oldest gas virtual trading point in Europe, National Balancing Point. It is considered as one of the most liquid and transparent gas markets. In order to fully cover every aspect, we use Wald tests, cointegration tests, asymmetric price transmission methodology, and Diebold and Mariano tests. We reach conclusions on commodities’ independence and we present their time varying relationship.

The paper aims at assessing the impact of the economic crisis on energy poverty in Greece. It monitors the electricity consumption per capita, its relationship with the economic growth and its comparison with other European countries. Moreover, the paper provides new indicators and information, monitoring data related to the capability of people to pay their electricity bills, the power cuts made due to the economic crisis and the social policy of the government for sensitive social groups. Results show that the standard of living in Greece has been increased considerably compared to other countries and that people require time to respond to the new economic conditions and to change their habits. It provides evidence that the economic crisis has considerable effect on the electricity consumption and on the capability of people to pay their bills. However, the power cuts depict mainly the unwillingness of customers to continue paying bills for properties that they do not use or do not provide any revenue for them. The incapability of customers to pay the electricity bills on time, create serious liquidity problem for the Public Power Corporation, which enables the danger of transforming an energy poverty issue to an energy security issue.

There is an urgent need to limit greenhouse gas emissions from cities if ambitious mitigation targets are to be met. On the other hand the economic crisis and the ambiguous relationship of inequality with economic growth have raised the issue of energy poverty. The need to connect economic activity with employment, energy poverty, climate change is becoming increasingly recognised. This paper describes the socioeconomic–energy–environmental component of an urban integrated assessment facility developed by the Tyndall Centre for Climate Change Research, which simulates socio-economic change, energy demand, climate impacts and greenhouse gas emissions over the course of the twenty first century at the city scale. The research is focussed upon London, UK, a city that has taken a lead role in the UK and globally with respect to energy poverty and climate protection. The paper demonstrates, through the implementation of several scenarios, quantifiable synergies and conflicts between economic development, employment and energy poverty in order to improve decision making in achieving sustainable and equality outcomes for cities.

This paper presents a mixed-integer linear programming (MILP) model for the optimal long-term energy planning of a (national) power generation system. In order to capture more accurately the spatial and technical characteristics of the problem, the underlying geographical area (country) is divided into a number of individual networks that interact with each other. The proposed model determines the optimal planning of the power generation system, the selection of the power generation technologies, the type of fuels and the plant locations so as to meet the expected electricity demand, while satisfying environmental constraints in terms of CO2 emissions. Furthermore, the suggested model determines the electricity imports from neighbouring countries, the electricity transmission as well as the transportation of primary energy resources between domestic networks. A real case study concerning the Greek energy planning problem demonstrates the applicability of the proposed approach, which can provide policy makers with a systematic computer-aided tool to analyse various scenarios and technology options. Finally, a sensitivity analysis was conducted in order to capture the influence of some key parameters such as electricity demand, natural gas and CO2 emission price as well as wind power investment cost.

This paper attempts to cast light into the relationship between electricity consumption and economic growth in Greece in a multivariate framework. For this purpose we used cointegration techniques and the vector error correction model in order to capture short-run and long-run dynamics over the sample period 1970–2011. The empirical results reveal that in the long-run electricity demand appears to be price inelastic and income elastic, while in the short-run the relevant elasticities are below unity. We also argue that the causal relationship between electricity consumption and economic growth in Greece is bi-directional. Our results strengthen the notion that Greece is an energy dependent country and well directed energy conservation policies could even boost economic growth. Furthermore, the implementation of renewable energy sources should provide significant benefits ensuring sufficient security of supply in the Greek energy system. This evidence can provide a new basis for discussion on the appropriate design and implementation of environmental and energy policies for Greece and other medium sized economies with similar characteristics.

The international negotiations concerning climate change, taken place during the UNFCCC conference in Durban at the end of year 2011, have failed to establish a new global agreement to reduce global emissions. Therefore, the G8 commitments on 80% reduction by 2050 seems to be the most realistic climate change mitigation framework for the time being, enhanced by the political will of the EU and USA administrations. For the needs of this paper, the G8 80% target is further extended to cover the whole EU-27 region, where the reduction commitments of the EU-27 member states are allocated based on the relevant allocation weights considered for the Kyoto Protocol obligations. This paper examines the implementation of the EU-27 and USA 80% emissions reduction target using a macro-economic hybrid model E4M-GAIA of the global economy, standing for Energy-Economy-Environment-Engineering Model of the Earth. The E4M-GAIA model, which adopts similar theoretical background with the “New Economics” school depicted mainly in the well-established Cambridge University’ E3 models, is used to implement this target and to compare it with a reference scenario, where no reduction target is pursued. Both scenarios consider that impact of the financial crisis, with updated information to the end of 2010. This paper aims to provide evidence that the proper direction of a portfolio of policies including: regulation, behavioral shift, revenue recycling, energy investments, energy and carbon pricing, can lead to double dividend, namely meeting a deep reduction target and providing gains for the economy.

This paper examines the macroeconomic rebound effect for the global economy arising from energy-efficiency policies. Such policies are expected to be a leading component of climate policy portfolios being proposed and adopted in order to achieve climate stabilisation targets for 2020, 2030 and 2050, such as the G8 50% reduction target by 2050. We apply the global “New Economics” or Post Keynesian model E3MG, developing the version reported in IPCC AR4 WG3. The rebound effect refers to the idea that some or all of the expected reductions in energy consumption as a result of energy-efficiency improvements are offset by an increasing demand for energy services, arising from reductions in the effective price of energy services resulting from those improvements. As policies to stimulate energy-efficiency improvements are a key part of climate-change policies, the likely magnitude of any rebound effect is of great importance to assessing the effectiveness of those policies. The literature distinguishes three types of rebound effect from energy-efficiency improvements: direct, indirect and economy-wide. The macroeconomic rebound effect, which is the focus of this paper, is the combination of the indirect and economy-wide effects. Estimates of the effects of no-regrets efficiency policies are reported by the International Energy Agency in World Energy Outlook, 2006, and synthesised in the IPCC AR4 WG3 report. We analyse policies for the transport, residential and services buildings and industrial sectors of the economy for the post-2012 period, 2013–2030. The estimated direct rebound effect, implicit in the IEA WEO/IPCC AR4 estimates, is treated as exogenous, based on estimates from the literature, globally about 10%. The total rebound effect, however, is 31% by 2020 rising to 52% by 2030. The total effect includes the direct effect and the effects of (1) the lower cost of energy on energy demand in the three broad sectors as well as of (2) the extra consumers’ expenditure from higher (implicit) real income and (3) the extra energy-efficiency investments. The rebound effects build up over time as the economic system adapts to the higher real incomes from the energy savings and the investments.

The obligations resulting from the Kyoto Protocol (KP) are implemented by many participants, e.g. Greece, by a combination of two methods: (a) application of regional measures which restrict CO2 emissions and (b) procurement of green certificates e.g. in a Climate Exchange Market (CEX). Therefore, the cost for compliance with the KP depends on the extent each method is used and also on the traded values in the CEX. The energy policy and planning to be considered are long-term items and now extension of the KP to a post-KP is discussed which reaches year 2020. In Greece, the electricity sector is with a weighted CO2 contribution of 73%, the dominantly emission sector. The paper analyzes the cost and other merits of different scenarios for the expansion of electrical power system in Greece. For different scenarios, the total cost of the electrical power system expansion is calculated as a function of the price of emission certificates. It has been shown that there is a price of 27.5€/tCO2, above which specific mitigation measures may lead to cost optimum solutions. A sensitivity analysis is also presented concerning the variation of key parameters like the participation in the system expansion of new supercritical coal units, the price evolution of natural gas, the RES usage rate and the discount rates of the expansion investments. Results may be of interest for a decision on the cost optimum electrical power system expansion.