Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]

The Colombian electricity market aims to offer a continuous and reliable service. However, the specific characteristics associated with its high dependence on hydroelectric generation, the technical limitations that allow its storage and the passive behavior of demand jeopardize the fulfillment of t...

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Fecha de publicación:: 2019

Institución:: Universidad de Medellín

Repositorio:: Repositorio UDEM

Idioma:: spa

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network_acronym_str	REPOUDEM2
network_name_str	Repositorio UDEM
repository_id_str
dc.title.none.fl_str_mv	Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]
title	Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]
spellingShingle	Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia] Electricity price forecasting Hodrick Long-term seasonal component Prescott filter
title_short	Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]
title_full	Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]
title_fullStr	Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]
title_full_unstemmed	Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]
title_sort	Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]
dc.subject.none.fl_str_mv	Electricity price forecasting Hodrick Long-term seasonal component Prescott filter
topic	Electricity price forecasting Hodrick Long-term seasonal component Prescott filter
description	The Colombian electricity market aims to offer a continuous and reliable service. However, the specific characteristics associated with its high dependence on hydroelectric generation, the technical limitations that allow its storage and the passive behavior of demand jeopardize the fulfillment of this objective. Uncertainty about future results has a significant impact on investment prospects, which consequently restricts the diversification of the energy matrix. In this context, among the mechanisms considered for the valuation of new projects and regulatory reforms, the interest to study the short and long-term behavior of the price of electricity stands out. The tool proposed in this paper develops an algorithm based on the Hodrick and Prescott filter for the Colombian market, which allows identifying the behavior of the cycle and the price trend, contributing to the decision making in the sector. © 2019, Associacao Iberica de Sistemas e Tecnologias de Informacao. All rights reserved.
publishDate	2019
dc.date.accessioned.none.fl_str_mv	2020-04-29T14:53:57Z
dc.date.available.none.fl_str_mv	2020-04-29T14:53:57Z
dc.date.none.fl_str_mv	2019
dc.type.eng.fl_str_mv	Article
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dc.identifier.issn.none.fl_str_mv	16469895
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identifier_str_mv	16469895
url	http://hdl.handle.net/11407/5771
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language	spa
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dc.relation.citationvolume.none.fl_str_mv	2019
dc.relation.citationissue.none.fl_str_mv	E21
dc.relation.citationstartpage.none.fl_str_mv	382
dc.relation.citationendpage.none.fl_str_mv	396
dc.relation.references.none.fl_str_mv	Alonso, J.C., Arcila, A.M., Empleo del comportamiento estacional para mejorar el pronóstico de un commodity: El caso del mercado internacional del azúcar (2013) Estudios Gerenciales, 29 (129), pp. 406-415. , https://doi.org/10.1016/j.estger.2013.11.006 Arango, M., Botero, S., The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad] (2017) Iberian Conference on Information Systems and Technologies, CISTI, , https://doi.org/10.23919/CISTI.2017.7975807 Buga, A., Zaborowicz, M., Boniecki, P., Janczak, D., Koszela, K., Czeka, W., Lewicki, A., (2018) Short-Term Forecast of Generation of Electric Energy in Photovoltaic Systems, 81 (November), pp. 306-312. , https://doi.org/10.1016/j.rser.2017.07.032, 2016 Fama, E.F., (1965) The Behavior of Stock-Market Prices, 38 (1), pp. 34-105. , http://links.jstor.org/sici?sici=0021-9398%2528196501%252938%253A1%253C34%253ATBOSP%253E2.0.CO%253B2-6 Gómez Sánchez, A.M., Análisis de la interdependencia de los ciclos económicos del cauca y el suroccidente colombiano: Una aproximación econométrica desde los filtros de kalman y hodrick-prescott1 (2011) Estudios Gerenciales, 27 (121), pp. 115-141. , https://doi.org/10.1016/S0123-5923(11)70184-X He, Y., Wang, B., Wang, J., Xiong, W., Xia, T., Correlation between Chinese and international energy prices based on a HP filter and time difference analysis (2013) Energy Policy, 62, pp. 898-909. , https://doi.org/10.1016/j.enpol.2013.07.136 Hodrick, R.J., Prescott, E.C., Postwar U. S. Business Cycles: An Empirical Investigation (1997) Journal of Money, Credit and Banking, 29 (1), pp. 1-16. , https://doi.org/10.2307/2953682 Kucher, O., Kurov, A., Review of Financial Economics Business cycle, storage, and energy prices (2014) Review of Financial Economics, 23 (4), pp. 217-226. , https://doi.org/10.1016/j.rfe.2014.09.001 Lisi, F., Nan, F., Component estimation for electricity prices: Procedures and comparisons (2014) Energy Economics, 44, pp. 143-159. , https://doi.org/10.1016/j.eneco.2014.03.018 Melichar, M., Energy price shocks and economic activity: Which energy price series should we be using? (2016) Energy Economics, 54, pp. 431-443. , https://doi.org/10.1016/j.eneco.2015.12.017 Nowotarski, J., Weron, R., Recent advances in electricity price forecasting: A review of probabilistic forecasting (2018) Renewable and Sustainable Energy Reviews, 81 (March 2017), pp. 1548-1568. , https://doi.org/10.1016/j.rser.2017.05.234 Oseni, M.O., Pollitt, M.G., The prospects for smart energy prices: Observations from 50 years of residential pricing for telecoms and energy (2016) EPRG Working Paper, 70, pp. 150-160. , https://doi.org/10.1016/j.rser.2016.11.214, March Rios, G., (2008) Series De Tiempo, p. 52 Ruiz, B.J.Ã., Rodr?, V.Ã., (2006) Renewable Energy Sources in the Colombian Energy Policy, 34, pp. 3684-3690. , https://doi.org/10.1016/j.enpol.2005.08.007, analysis and perspectives Satagopan, J.M., (1996) A Bayesian Approach, , (1992) Singh, H., Fang, L., Guan, L., Forecasting day-ahead price spikes for the Ontario electricity market (2016) Electric Power Systems Research, 141, pp. 450-459. , https://doi.org/10.1016/j.epsr.2016.08.005 Tsai, S., Dong, W., Xue, Y., Zhang, J., Chen, Q., Liu, Y., Zhou, J., Models for forecasting growth trends in renewable energy (2017) Renewable and Sustainable Energy Reviews, 77 (2015), pp. 1169-1178. , https://doi.org/10.1016/j.rser.2016.06.001, December Una Visión del Mercado Eléctrico Colombiano (2004) Mercado De Energía Eléctrica En Colombia-Análisis Comercial Y De Estrategias, pp. 1-110 (2016) Boletín Estadístico: Minas Y energía 2012 , 2016, p. 200 Wang, D., Luo, H., Grunder, O., Lin, Y., Guo, H., Multi-step ahead electricity price forecasting using a hybrid model based on two-layer decomposition technique and BP neural network optimized by firefly algorithm (2017) Applied Energy, 190, pp. 390-407. , https://doi.org/10.1016/j.apenergy.2016.12.134 Weron, R., Zator, M., A note on using the Hodrick Prescott filter in electricity markets (2015) Energy Economics, 48, pp. 1-6. , https://doi.org/10.1016/j.eneco.2014.11.014 Yang, Z., Ce, L., Lian, L., Electricity price forecasting by a hybridmodel, combining wavelet transform, ARMA and kernel-based extreme learning machine methods (2017) Applied Energy, 190, pp. 291-305. , https://doi.org/10.1016/j.apenergy.2016.12.130 Ziel, F., Steinert, R., Electricity price forecasting using sale and purchase curves: The X-Model (2016) Energy Economics, 59, pp. 435-454. , https://doi.org/10.1016/j.eneco.2016.08.008
dc.rights.coar.fl_str_mv	http://purl.org/coar/access_right/c_16ec
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dc.publisher.none.fl_str_mv	Associacao Iberica de Sistemas e Tecnologias de Informacao
dc.publisher.program.none.fl_str_mv	Ingeniería Financiera
dc.publisher.faculty.none.fl_str_mv	Facultad de Ingenierías
publisher.none.fl_str_mv	Associacao Iberica de Sistemas e Tecnologias de Informacao
dc.source.none.fl_str_mv	RISTI - Revista Iberica de Sistemas e Tecnologias de Informacao
institution	Universidad de Medellín
repository.name.fl_str_mv	Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv	repositorio@udem.edu.co
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spelling	20192020-04-29T14:53:57Z2020-04-29T14:53:57Z16469895http://hdl.handle.net/11407/5771The Colombian electricity market aims to offer a continuous and reliable service. However, the specific characteristics associated with its high dependence on hydroelectric generation, the technical limitations that allow its storage and the passive behavior of demand jeopardize the fulfillment of this objective. Uncertainty about future results has a significant impact on investment prospects, which consequently restricts the diversification of the energy matrix. In this context, among the mechanisms considered for the valuation of new projects and regulatory reforms, the interest to study the short and long-term behavior of the price of electricity stands out. The tool proposed in this paper develops an algorithm based on the Hodrick and Prescott filter for the Colombian market, which allows identifying the behavior of the cycle and the price trend, contributing to the decision making in the sector. © 2019, Associacao Iberica de Sistemas e Tecnologias de Informacao. All rights reserved.spaAssociacao Iberica de Sistemas e Tecnologias de InformacaoIngeniería FinancieraFacultad de Ingenieríashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85078334368&partnerID=40&md5=ecbf47ca991ea0a87540a6d732e32f702019E21382396Alonso, J.C., Arcila, A.M., Empleo del comportamiento estacional para mejorar el pronóstico de un commodity: El caso del mercado internacional del azúcar (2013) Estudios Gerenciales, 29 (129), pp. 406-415. , https://doi.org/10.1016/j.estger.2013.11.006Arango, M., Botero, S., The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad] (2017) Iberian Conference on Information Systems and Technologies, CISTI, , https://doi.org/10.23919/CISTI.2017.7975807Buga, A., Zaborowicz, M., Boniecki, P., Janczak, D., Koszela, K., Czeka, W., Lewicki, A., (2018) Short-Term Forecast of Generation of Electric Energy in Photovoltaic Systems, 81 (November), pp. 306-312. , https://doi.org/10.1016/j.rser.2017.07.032, 2016Fama, E.F., (1965) The Behavior of Stock-Market Prices, 38 (1), pp. 34-105. , http://links.jstor.org/sici?sici=0021-9398%2528196501%252938%253A1%253C34%253ATBOSP%253E2.0.CO%253B2-6Gómez Sánchez, A.M., Análisis de la interdependencia de los ciclos económicos del cauca y el suroccidente colombiano: Una aproximación econométrica desde los filtros de kalman y hodrick-prescott1 (2011) Estudios Gerenciales, 27 (121), pp. 115-141. , https://doi.org/10.1016/S0123-5923(11)70184-XHe, Y., Wang, B., Wang, J., Xiong, W., Xia, T., Correlation between Chinese and international energy prices based on a HP filter and time difference analysis (2013) Energy Policy, 62, pp. 898-909. , https://doi.org/10.1016/j.enpol.2013.07.136Hodrick, R.J., Prescott, E.C., Postwar U. S. Business Cycles: An Empirical Investigation (1997) Journal of Money, Credit and Banking, 29 (1), pp. 1-16. , https://doi.org/10.2307/2953682Kucher, O., Kurov, A., Review of Financial Economics Business cycle, storage, and energy prices (2014) Review of Financial Economics, 23 (4), pp. 217-226. , https://doi.org/10.1016/j.rfe.2014.09.001Lisi, F., Nan, F., Component estimation for electricity prices: Procedures and comparisons (2014) Energy Economics, 44, pp. 143-159. , https://doi.org/10.1016/j.eneco.2014.03.018Melichar, M., Energy price shocks and economic activity: Which energy price series should we be using? (2016) Energy Economics, 54, pp. 431-443. , https://doi.org/10.1016/j.eneco.2015.12.017Nowotarski, J., Weron, R., Recent advances in electricity price forecasting: A review of probabilistic forecasting (2018) Renewable and Sustainable Energy Reviews, 81 (March 2017), pp. 1548-1568. , https://doi.org/10.1016/j.rser.2017.05.234Oseni, M.O., Pollitt, M.G., The prospects for smart energy prices: Observations from 50 years of residential pricing for telecoms and energy (2016) EPRG Working Paper, 70, pp. 150-160. , https://doi.org/10.1016/j.rser.2016.11.214, MarchRios, G., (2008) Series De Tiempo, p. 52Ruiz, B.J.Ã., Rodr?, V.Ã., (2006) Renewable Energy Sources in the Colombian Energy Policy, 34, pp. 3684-3690. , https://doi.org/10.1016/j.enpol.2005.08.007, analysis and perspectivesSatagopan, J.M., (1996) A Bayesian Approach, , (1992)Singh, H., Fang, L., Guan, L., Forecasting day-ahead price spikes for the Ontario electricity market (2016) Electric Power Systems Research, 141, pp. 450-459. , https://doi.org/10.1016/j.epsr.2016.08.005Tsai, S., Dong, W., Xue, Y., Zhang, J., Chen, Q., Liu, Y., Zhou, J., Models for forecasting growth trends in renewable energy (2017) Renewable and Sustainable Energy Reviews, 77 (2015), pp. 1169-1178. , https://doi.org/10.1016/j.rser.2016.06.001, DecemberUna Visión del Mercado Eléctrico Colombiano (2004) Mercado De Energía Eléctrica En Colombia-Análisis Comercial Y De Estrategias, pp. 1-110(2016) Boletín Estadístico: Minas Y energía 2012 , 2016, p. 200Wang, D., Luo, H., Grunder, O., Lin, Y., Guo, H., Multi-step ahead electricity price forecasting using a hybrid model based on two-layer decomposition technique and BP neural network optimized by firefly algorithm (2017) Applied Energy, 190, pp. 390-407. , https://doi.org/10.1016/j.apenergy.2016.12.134Weron, R., Zator, M., A note on using the Hodrick Prescott filter in electricity markets (2015) Energy Economics, 48, pp. 1-6. , https://doi.org/10.1016/j.eneco.2014.11.014Yang, Z., Ce, L., Lian, L., Electricity price forecasting by a hybridmodel, combining wavelet transform, ARMA and kernel-based extreme learning machine methods (2017) Applied Energy, 190, pp. 291-305. , https://doi.org/10.1016/j.apenergy.2016.12.130Ziel, F., Steinert, R., Electricity price forecasting using sale and purchase curves: The X-Model (2016) Energy Economics, 59, pp. 435-454. , https://doi.org/10.1016/j.eneco.2016.08.008RISTI - Revista Iberica de Sistemas e Tecnologias de InformacaoElectricity price forecastingHodrickLong-term seasonal componentPrescott filterApplication of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]Articleinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Arango, M., Universidad de Medellín/Universidad Nacional de Colombia, Medellín, Colombia; Galvis, J., Universidad de Medellín, Medellín, Colombiahttp://purl.org/coar/access_right/c_16ecArango M.Galvis J.11407/5771oai:repository.udem.edu.co:11407/57712020-05-27 18:29:58.962Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co

Application of the hodrick-prescott model for the price forecast of electricity in Colombia [Aplicación del modelo de hodrick-prescott para el pronóstico del precio de la electricidad en Colombia]

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