Research

Energy Economics and Utility Studies

With the liberalization and de-regulation of energy utilities following the EU directive 96/92/EC research in energy economics changed. As in the past most uncertainties could be transferred to the consumers, utility studies were conducted considering a fairly predictable future. Today, such transfers are no longer possible and, thus, the future development is less predictable. This does also effect energy policy and relates, for example, to the promotion of renewable energy sources for electricity production and especially to the integration of variable and uncertain wind energy production. The integration leads to changes in conventional generation and consequently to integration costs.

JEL L97, Q40, Q42, Q48

Competition and Market Imperfections

The established competition on the diverse energy markets is far from being perfect. Worldwide, most energy markets are oligopolies, sometimes monopolies. This development is mainly due to the capital intensive and often irreversible investments in the energy sector. Market imperfections can be seen and, thus, detailed analysis of a markets' performance is required and of interest to energy policy makers and consumers. This leads to analyse if a market can be seen to offer a workable competition or if an abuse of potential market power of the major companies exists. Other questions relate, for example, to the re-regulation of the natural monopolies in the electricity and gas networks.

JEL D41, D43, L13, L43

Decision-Making under Risk and Uncertainty

Today, the primary objective of most energy utilities changed from cost minimization to profit maximization. Additionally, decision makers of energy utilities face new challenges regarding the management of risks and uncertainties. This leads to an increasing need for new methods and models of operational research to support mostly near-term trade and long-term investment decisions. Thereby, of highest interest are optimization techniques based on stochastic and mixed-integer programming approaches. Additionally, theories developed within the financial mathematic community gain importance like, for example, applications of the real options and portfolio theory.

JEL C44, C61, D81, G11

Econometric Modelling and Price Forecasting

In de-regulated energy markets a good insight in the dynamics of the stochastic price processes is of crucial importance. This knowledge enables market participants to apply methods for power and risk management as well as for option pricing. Thereby, not only the accuracy of the point forecast is of interest but also the density forecast. Furthermore, not only the exact way of specifying the deterministic impacts are of importance but also the specifications of the stochastic terms need to be considered. This leads, for example, to extended econometric modelling approaches based on combinations of Gaussian-mixture and switching-regime approaches with the classic ARMA model.

JEL C01, C32, C53, E37