Lucia Parisio - Academia.edu (original) (raw)

Papers by Lucia Parisio

Decisions in Economics and Finance, 2021

In this paper, we study a class of markets, among which we can mention agricultural and energy ma... more In this paper, we study a class of markets, among which we can mention agricultural and energy markets, characterized by seasonality, i.e., in which demand and/or supply conditions cyclically alternate with a precise and known periodicity. We propose a new theoretical framework based on a cobweb model with adaptive expectations, accordingly modified to be consistent with market’s seasonality. The model, consisting in a second-order non-autonomous difference equation, is investigated with the aim of understanding how the periodical nature of the market together with the agents’ expectation formation mechanism affects the resulting dynamics. We analytically prove the emergence of dynamical scenarios that are missing in the classic cobweb model for non-seasonal markets, such as quasi-periodic dynamics and an ambiguous role on stability of the expectation weight. Finally, we discuss their economic rationale with the help of numerical simulations. In such a peculiar economic framework, a...

Balancing markets sessions have become extremely relevant in the last years, when electricity pro... more Balancing markets sessions have become extremely relevant in the last years, when electricity production from renewable resources (RES-E) has increased substantially. This situation is common to the majority of EU countries and it is the result of generous supporting policies to support RES deployment. Now RES-E occupy a large portion of the day-ahead market supply, due to priority despatch, at the expense of conventional technologies. Since RES-E production is variable and to some extent impredictable, real time balancing is essential for the functioning of the system.

Politica economica, 2008

Le aste on-line sono meccanismi cui partecipano individui che si incontrano soltanto sul web: i v... more Le aste on-line sono meccanismi cui partecipano individui che si incontrano soltanto sul web: i venditori utilizzano siti appositamente creati per «esporre» l'oggetto d'asta ed i partecipanti (bidders) partecipano all'asta formulando offerte in forma elettronica. Terminata l'asta, l'oggetto viene inviato al vincitore che paga il prezzo. I siti specializzati nelle aste on-line forniscono-ciascuno secondo modalità differenziate-un luogo virtuale di incontro tra venditori e compratori proponendo una piattaforma di mercato (ovvero un insieme di regole d'asta) attraverso le quali si conducono le transazioni. Diverse tipologie di agenti economici possono prendere parte a questi meccanismi per cui si distinguono aste C2C, B2B, B2C e C2B, dove C e B indicano rispettivamente consumatori ed imprese. Sin dal loro avvento intorno alla metà degli anni '90, associato in generale allo sviluppo del fenomeno dell'e-commerce, le aste on-line hanno riscosso un enorme successo. L'e-commerce sta crescendo in Italia a un tasso annuo del 42% e nel 2006 in Italia sono stati infatti fatturati 2,906 miliardi di euro. Il settore trainante, in Italia, è il turismo con un aumento del 60% tra il 2005 e il 2006 e un fatturato complessivo di 1,571 miliardi di euro; seguono l'elettronica di consumo e il tempo libero. A livello europeo, il fatturato è stato pari a 135 miliardi di euro nel 2006. Confrontando i dati italiani con quelli europei si desume che le vendite on-line nazionali abbiano ancora un notevole spazio di crescita. Per quanto concerne in particolare le vendite all'asta su internet, notiamo che il maggiore e più famoso sito a livello mondiale, ovvero eBay, è presente in 33 mercati internazionali, conta 203 milioni di utenti registrati nel mondo di cui 113 milioni sono registrati in siti internazionali 1. In profitto fin dal From the auctioneer to the net: old and new issues in internet auctions by Lucia Parisio Summary: The paper presents a survey of theoretical and applied literature on internet auctions. On-line auctions represents an example of how new and flexible exchange procedures can be designed and offered to users of the net. New auction rules designed for internet auctions stimulated new theoretical and empirical research. In the paper, both theoretical and empirical aspects of market design will be considered in the light of the old and new auction literature.

Renewable and Sustainable Energy Reviews, 2018

The massive introduction of RES in electricity markets is recognized to have induced a merit orde... more The massive introduction of RES in electricity markets is recognized to have induced a merit order effect on wholesale prices. While day-ahead prices are likely to decline as RES-E production increases, the effects on balancing market sessions are more ambiguous. Taking into account the Northern Italian zone characterized by a high solar PV and hydro penetration, we provide empirical evidence that balancing quantities decreased while costs increased between two samples associated with low (2006-08) and high (2013-15) RES levels. We estimate balancing costs for different technologies and compare their dynamics across specific hours. We find evidence of increasing balancing prices in particular market conditions, that we interpret as a signal of strategic use of real time sessions by conventional producers prone to the merit order effect in the day-ahead market. We compare our results to those obtained in the German market (where, on the contrary, balancing costs have decreased) and postulate that the different market designs may explain these results. Our findings suggest that Italian policy makers should carefully monitor all trading sessions, especially those close to real time, to avoid the exercise of market power by few operators allowed to guarantee system security and, additionally, to promptly adopt a capacity market.

SSRN Electronic Journal, 2017

The massive introduction of RES in electricity markets has influenced the long-run dynamics of el... more The massive introduction of RES in electricity markets has influenced the long-run dynamics of electricity prices and their interactions with conventional thermal production sources. Taking into account the Northern Italian zone characterized by a high solar PV and hydro penetration, we firstly provide empirical evidence on the fuels-electricity nexus across two samples characterized by low (2006-08) and high (2013-15) RES levels, both in the dayahead and balancing markets. Then, we estimate the costs for balancing power disentangling for technologies and comparing their dynamics across specific hours in both samples. We show that the fuels-electricity nexus has changed significantly in the day-ahead sessions and selectively in the balancing sessions. We also find evidence of high balancing prices that we interpret as a signal of strategic use of real time sessions by conventional producers. Our findings suggest policy makers to carefully monitor all trading sessions, especially those close to real time, to avoid the exercise of market power by few operators allowed to guarantee system security and to promptly adopt a capacity market.

2015 Modern Electric Power Systems (MEPS), 2015

The relationship between wholesale electricity day-ahead and balancing prices is empirically inve... more The relationship between wholesale electricity day-ahead and balancing prices is empirically investigated in Italy during years 2012-2014 characterized by high RES generation. We assess the situations of excess demand and excess supply with respect to the differences in quantities promised on the day-ahead market and actually delivered/demanded on real time; hence, we provide empirical evidence on Italian regulation power and corresponding prices. Our results partly confirm those obtained by Skytte (1999). We observe that regulating power prices are not influenced by the amount of regulation in both scenarios; even if they actually behave differently to up- and down-regulation. In addition, we quantify the premia of readiness according to specific selected hours and across Italian zones.

In this paper we examine the bidding behaviour of firm competing in the Italian wholesale electri... more In this paper we examine the bidding behaviour of firm competing in the Italian wholesale electricity market where generators submit hourly supply schedule to sell power. We describe the institutional characteristics of the Italian market and derive generators' equilibrium bidding functions. We also discuss the main empirical strategies followed by the recent econometrical literature to obtain estimates of (unobservable) optimal bids. Then, we use individual bid data, quantity volumes and other control variables to compare actual bidding behaviour to theoretical benchmarks of profit maximization. We obtain estimates of generators' costs to be used in conjunction with hourly market equilibrium prices to derive some measures of the extent of market power in the Italian electricity sector and of its exploitation by firms. This analysis is conducted taking into account generators characteristics (large vs. small generators, gas vs. oil technologies, ect) in order to evaluate the...

In the last twenty-five years previously nationalized public enterprises have been privatized all... more In the last twenty-five years previously nationalized public enterprises have been privatized all around the world and subjected to some form of regulation to limit the market power of the newly created dominant private firms. This is the case of the vast majority of the so-called public utilities (electricity, gas, telephone, transport, etc.), which are nowadays in the hands of (few) private subjects. In some cases the privatization process has taken the form of a direct selling of companies’ stock to private investors whereas in some other cases – generally in post-Soviet Russia and other East European countries – it was realized by means of the bonus system. In the first case public firms were already listed in stock markets and the minority quota, however large or small, traded and priced in those markets. Hence, there was a regular activity of buying and selling of stocks before governments decided to fully (or almost fully) privatize each firm. It is the purpose of this paper ...

The Energy Journal, 2016

We analyse vertical integration between generators and retailers in electricity markets and we di... more We analyse vertical integration between generators and retailers in electricity markets and we discuss the implications for price decisions of the presence of asymmetric (cost) information in a simple P-A framework. We analyze a situation in which generators post supply bids taking into account the profit of the entire vertically integrated group they belong to. We then discuss the way in which the degree of vertical integration affects this bidding strategy. Using Italian electricity auction data we show how bid prices posted by a pivotal producer are significantly influenced by variables incorporating vertical integration into the econometric model.

2010 7th International Conference on the European Energy Market, 2010

SSRN Electronic Journal, 2007

This paper analyses the interdependencies existing in wholesale European electricity prices. The ... more This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of longterm dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives.

International Tax and Public Finance - INT TAX PUBLIC FINANC, 2003

In this paper we apply auction theory to the modelling of competition in a multi-unit wholesale e... more In this paper we apply auction theory to the modelling of competition in a multi-unit wholesale electricity market. Bidding strategies of multi-plant producers are derived and examined assuming various degrees of market concentration. Unlike previous literature, which mainly focuses on demand uncertainty, we assume both demand and cost uncertainty as well as cost differentials among the two types of generating units considered in the model, namely baseload units and peak units. Results indicate that the System Marginal Price (competitive pricing) rule provides incentives for bid shading on the part of all those generators-units who have a non-null probability of setting the market price. We also show that the extent of the bid shading is positively affected by the differential in the endowments of the baseload generation capacity of multi-plant firms. The inefficiency of the resulting allocation is also examined and some policy implications are briefly discussed.

International Advances in Economic Research, 2007

In this paper we analyze the time series of daily mean prices generated in the Italian electricit... more In this paper we analyze the time series of daily mean prices generated in the Italian electricity market, which started to operate as a Pool in April 2004. The objective is to characterize the high degree of autocorrelation and multiple seasonalities in the electricity prices. We use periodic models with GARCH disturbances and leptokurtic distribution and compare their performance with more classical ARMA-GARCH processes. The within-year seasonal component is built using the low frequencies components of physical quantities, which are very regular throughout the sample. Results reveal that much of the variability of the price series is explained by deterministic multiple seasonalities which interact with each other. Periodic AR-GARCH models seem to perform quite well in mimicking the features of the stochastic part of the price process.

Journal of Applied Econometrics, 2009