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2022 Vol.31, Issue 3 Preview Page

Research Paper

What determines the Electricity Price Volatility in Korea?

전력계통한계가격 변동성 결정요인 분석: 베이지안 변수선택 방법

이서진*‧김영민**

Seojin Lee* and Young Min Kim**

*홍익대학교 경제학부 조교수, 제1저자(e-mail: sjlee@hongik.ac.kr)
**전북대학교 무역학과 조교수, 교신저자(e-mail: kimym@jbnu.ac.kr)
*Assistant Professor, School of Economics, Hongik University, First author(e-mail: sjlee@hongik.ac.kr)
**Assistant Professor, Department of International Trade, JeonBuk National University Corresponding author(e-mail: kimym@jbnu.ac.kr)
30 September 2022. pp. 393-417
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Abstract
Using hourly SMP data from 2016 to 2020, this paper measures the weekly realized volatility and investigates the main force of its determinants. To this end, we extend the Bayesian variable selection by incorporating the regime-switching model which identifies important variables among a large number of predictors by regimes. We find that the increase in coal and nuclear generation, as well as solar power, reinforce the SMP volatility in both high volatility and low volatility regime. In contrast the increase in gas generation and gas price decrease SMP volatility when SMP volatility is high. These results suggest that the expansion of renewable energy according to 2050 Carbon Neutrality or energy transition policies increases SMP volatility but the increase in the gas generation or reduction of coal generation might offset its impact.
Keywords
Electricity price volatility
Realized volatility
Bayesian variable selection
Regime-switching
Solar power
전력시장 도매가격인 전력계통한계가격(System Marginal Price, SMP)의 급등락은 발전사업자들의 재생에너지 및 기존 신규 발전설비에 대한 투자 결정을 변경하거나 지연시켜 에너지 정책 실현에 부정적인 영향을 미칠 수 있다. 이 연구는 2016~2020년 시간별 데이터를 활용하여 우리나라 SMP 주간 실현 변동성을 측정하고 결정요인을 파악함으로써 SMP 급등락 현상에 대한 정보 제공을 목적으로 한다. 국면전환(regime-switching)을 베이지안 변수선택(Bayesian stochastic selection) 모형에 적용하여 추정한 결과, SMP 고변동 ‧ 저변동 국면 모두에서 기저발전인 석탄 및 원자력 발전과 재생에너지인 태양광 발전의 증가는 SMP 변동성을 심화시키고, 가스발전량과 LNG 가격 변화는 고변동 국면에서만 SMP 변동성을 감소시키는 것으로 나타났다. 이러한 결과는 탄소 중립이나 에너지 전환 정책에 따른 재생에너지의 점진적인 확대가 SMP 변동성을 확대할 수 있지만, 재생에너지의 간헐성을 보완하기 위한 가스발전의 증가나 탄소 중립을 위한 석탄발전 감축은 SMP 변동성 증가를 상쇄시키는 역할을 할 수 있음을 시사한다.
키워드
전력계통한계가격
실현 변동성
베이지안 변수선택
국면전환
재생에너지
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Information
  • Publisher :Environmental and Resource Economics Review
  • Publisher(Ko) :자원 · 환경경제연구
  • Journal Title :자원·환경경제연구
  • Journal Title(Ko) :Environmental and Resource Economics Review
  • Volume : 31
  • No :3
  • Pages :393-417
  • DOI :https://doi.org/10.15266/KEREA.2022.31.3.393
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