Universität zu Köln

Nick, Sebastian (2014). Empirical Essays on Energy Economics and Firm Performance Measurement. PhD thesis, Universität zu Köln.

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Abstract

This thesis comprises four empirical essays on energy economics that each address one specific question related to liberalized energy markets. The first essay empirically investigates price determinants in the German natural gas wholesale market with a special focus on the impact of supply interruptions. For this purpose, a structural vector autoregressive model (VAR) is specified, enabling the incorporation of a rich set of fundamental variables. The empirical results show that weather conditions and supply disruptions affect gas prices in the short run, while gas prices are closely tied to prices of other commodities, namely crude oil and coal, in the long run. The second essay of the thesis investigates the informational efficiency of the European natural gas market by analysing price formation and intertemporal arbitrage dynamics on spot and futures markets of three different European gas hubs. The empirical results reveal that price formation takes place on the futures market at all hubs. The theory of storage seems to hold for all hubs in the long run. However, there is empirical evidence of significant short-run inefficiency resulting from impediments to intertemporal arbitrage. The dynamic investigation using a time-varying coefficient model suggests that there has been a convergence in the informational efficiency at the hubs considered during the sample period. The third essay included in this thesis deals with the incorporation of dynamic elements in the benchmarking process carried out in the context of incentive-based regulation schemes. In specific, it analyses the impact of an explicit consideration of adjustment costs resulting from investments on the benchmarking outcome. The empirical results for a sample of US transmission and distribution firms suggest that the incorporation of adjustment costs significantly affects the benchmarking result, both on firm-specific and industrial level. In particular, firms with large investments suffer from the application of static benchmarking methods as the resulting cost saving targets may be too strict. The fourth essay of the thesis seeks to quantify the economic costs of power interruptions for Germany. Using a macroeconomic approach, outage costs are approximated by losses in output for both firms and private households. The empirical results suggest that a power interruption of one hour on national level causes costs of about 430 Mio EUR, while a missing megawatt hour on average induces costs of 7.6 Mio EUR. Overall, both specific and absolute outage costs are very heterogeneous among the considered economic sectors and regions.

Item Type:	Thesis (PhD thesis)
Creators:	Creators Email ORCID ORCID Put Code Nick, Sebastian nick.sebastian.sn@gmail.com UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-56317
Date:	26 June 2014
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Externe Einrichtungen > An-Institute > Associated Institutes of the Faculty of Management, Economics and Social Sciences > Institute for Energy Economics
Subjects:	Economics
Uncontrolled Keywords:	Keywords Language Natural Gas, Informational Efficiency, Dynamic Efficiency Measurement, Power Interruption Costs German
Date of oral exam:	25 June 2014
Referee:	Name Academic Title Höffler, Felix Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/5631