Carbon Taxation and Electricity Price Dynamics: Empirical Evidence from the Australian Market
Nicola Comincioli,
Mattia Guerini,
Sergio Vergalli
Abstract:In this paper, we study the change of Australian electricity price dynamics that was observed before, during and after the two-year period in which a Carbon Pricing Mechanism was in force. We fit a two-states Markov Switching Model, representing a high- and a low-volatility state of the world. To avoid the interference due to periodic patterns, a deseasonalization process accounting for short- and long-term seasonality is carried out prior to the study of volatility. Estimation results highlight that, during t… Show more
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