Heterogeneous price dynamics in U.S. regional electricity markets

摘要: Abstract The U.S. electricity wholesale market is organized in several deregulated regional markets. This paper compares price dynamics of the markets and shows that prices from West East coasts have different regime dynamics. Our methodology suggests are better parameterized by four regimes with levels volatility. Additionally, coast differ time spent each regime. extremely high volatility describes during California crisis, but also frequent We find evidence synchronization mean-reverting highest regimes, i.e., tend to be same at time.