Régis Bourbonnais

The Econometrics of Energy Systems

Twenty years of liberalization have transformed the energy sector. The old energy world of long-term contracts and personal contacts has changed beyond recognition into a set of highly competitive markets with instantaneous decision-making much like the financial sector. Decentralized decision-making by multiple actors creates the necessary environment for applying econometric techniques. More importantly, the complexity and volatility of these new markets create strong demand for quantitative analysis and, in particular, econometric techniques. Written jointly by energy economists and econometricians, this book offers an introduction to the state of the art in econometric modelling applied to the most pertinent issues in todays energy markets.

Electricity spot price modelling: univariate time series approach

As a result of deregulation reforms, modelling and forecasting of electricity prices have become of fundamental importance to participants in electricity markets. Having an appropriate representation of the electricity price is important to the actors in this new industry which is now open to competition, quite risky and characterized by uncertainties. Modelling the price of electricity is a challenging task, considering its specific features: electricity is not storable, supply needs to be balanced continuously against demand, and there is a good deal of volatility, inelasticity, seasonality and so forth. The objective of this chapter is to model and forecast the behaviour of spot prices for two wholesale electricity markets: the Elspot of the Nord Pool in Europe and PJM spot prices in the North East region in the US (based on daily data from 29 April 2004 to 30 April 2005).

Forecasting, Production and Inventory Management of Short Life-Cycle Products: A Review of the Literature and Case Studies

The evolution of consumer behaviour (a dual demand of a large variety and personalised products) has encouraged firms to enlarge their product range. As a result, certain products have a very short life cycle (a few weeks to a few months). The supply chain for these products cannot be exactly the same as for mass-market products. In this article, we propose a literature review specific to short-life-cycle products’ supply chain. We cover the three following fields: demand forecasting, inventory management, and production management. We also present the results of two studies that we have conducted: the first deals with demand forecasting for CDs and the second deals with the printing policy for an annual guide. The absence of sales history in the case of short life-cycle products does not allow the use of classical models for calculating forecasts. Specific models are then used: the Gompertz model and the logistical model. For inventory management, two policies can be considered: a single supply or two. The results of the study conducted on the policy of edition of an annual guide showed that the total cost of the second policy is lower. The production management of short life-cycle products can be based on the following triptych: modular design, delayed differentiation and flexibility

Delineation of Energy Markets with Cointegration Techniques

The question of market ‘frontiers’ is a constant issue in energy economics. The first and second oils shocks, during the 1970s, impacted national economies — to various degrees — in all OECD countries, resulting in a growing globalization of the oil markets or, at least, close links between regional markets. The move towards liberalization of energy markets, starting during the 1980s in the US and progressively reaching Europe, extended this process to all categories of energy and geographical markets. At the same time, improved availability of price information decreased transactions costs and also contributed to integrating energy markets even more than previously. These combined movements explain that research on the delineation of market boundaries and tests of the law of ‘one price’ are nowadays ‘classics’ in the field of energy economics.1