The Impact of Barrel Oil Price Variation in MIBEL Prices: A Longitudinal Approach

摘要

This paper seeks to analyse the impact of barrel oil price variation on the electricity prices. In particular, we analyse the impact of daily variation of barrel oil price on the short-term evolution of the Iberian Electricity Market (MIBEL) hourly prices, for biding optimization purpose, and also for scenario analysis in terms of pricing and strategy. The pursuit for accurate models to predict price movements can help to develop profit-maximizing trading strategies and optimal bidding techniques. In fact, important activities such as bidding strategies rely, nowadays, on price forecast information to improve decision making. For this purpose we make use of a mixed-effects longitudinal model to describe the variability of hourly prices from January 2015 to June 2016, in a total of 13 032 observations. We consider the value of barrel oil price, on the same day and on the previous day, as fixed effects, hour group as random effect and an autoregressive component of order 7 describing the within hour dependence. This analysis is an extension of [1], where the need of exogenous variables incorporation arose when analysing the longitudinal variation of electricity prices, with the purpose of enhance the longitudinal model performance. This study offers evidence that barrel oil price variation must be taken into account for electricity price forecasting, since it affects its variability.