4.7 Article

Solar energy penetration and volatility transmission to electricity markets-An Australian perspective

期刊

ECONOMIC ANALYSIS AND POLICY
卷 69, 期 -, 页码 434-449

出版社

ELSEVIER
DOI: 10.1016/j.eap.2020.12.022

关键词

Solar power penetration; Volatility transmission; Electricity price; GARCH

资金

  1. Australian Government Research Training Program (RTP) scholarship

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The increasing penetration of solar energy reduces electricity prices in the regional electricity markets of Queensland, South Australia, and Tasmania; however, the positive impact of natural gas prices offsets the negative impact of solar energy on electricity prices. There are significant own-volatility and cross-volatility spillovers among the Australian electricity markets.
The contribution of solar energy to electricity production has intensified in recent years. In this study, we aim to measure the impact of higher solar penetration on electricity prices across regional and national electricity markets in Australia. Using daily data, we also estimate volatility transmission among the Australian electricity markets. Univariate and multivariate GARCH models are employed to achieve the objectives of the study. The results show that increasing solar penetration decreases electricity prices in the regional electricity markets of Queensland, South Australia and Tasmania. However, the results further reveal that the joint negative effect of solar energy on electricity prices is outweighed by the positive impact of natural gas prices. Finally, the findings show that there are many significant own-volatility and cross-volatility spillovers among the Australian electricity markets. Among the regional electricity markets, the New South Wales electricity market emerged as the most critical market in terms of cross volatility. (C) 2020 Economic Society of Australia, Queensland. Published by Elsevier B.V. All rights reserved.

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