Evidenze empiriche dalla volatilità dei prezzi elettrici durante la crisi energetica californiana. Cattura del regolatore nel caso Enron?

Francesco Busato, Andrea Gatto

Abstract


Questo lavoro analizza i trade data dei tre hubs principali dei mercati elettrici occidentali USA – SP-15, Palo Verde e Mid-C –, proponendo la costruzione e l’organizzazione di un nuovo dataset completo delle serie temporali giornaliere dei prezzi elettrici per gli anni 2001-2017. Si esaminano le operazioni Enron e le principali regolamentazioni e misure di policy adottate nei mercati finanziari americani prima, durante e dopo la crisi californiana del 2000-2001, attraverso un’analisi normativa e statistica dei prezzi elettrici. Gli obiettivi sono di verificare l’esistenza di una relazione tra volatilità dei prezzi e fenomeni manipolativi, e testare l’efficacia delle politiche regolative applicate. I risultati suggeriscono un ruolo significativo delle operazioni Enron nell’aumento di episodi e dell’intensità della volatilità dei prezzi elettrici in California e avvalorano l’ipotesi di una cattura del regolatore.

This work analyzes the trade data of the three major hubs of the Western US electricity markets – SP-15, Palo Verde, and Mid-C -, proposing the reconstruction and the organization of a new complete dataset of the daily time series of the electricity prices for the years 2001-2017. They are examined Enron operations and the main regulations and policy measures adopted in the American financial markets, before, during, and after the California crisis of 2000-2001, through a normative and a statistical analysis of the electricity prices. The objectives are to verify the existence of a relationship amongst price volatility and manipulative phenomena, and to test the effectiveness of the regulative policies applied. The results suggest a significant role played by Enron operations in the increase of the episodes and intensity of the volatility of the electricity prices in California and validate the hypothesis of a regulator capture.

  Appendice online

JEL codes: G01, L94, Q41

 


Parole chiave


market manipulation, electric crises, Enron, regulator capture

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DOI: https://doi.org/10.13133/2037-3651_72.285_3

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Reg. Tribunale di Roma n.377/2009 del 19/11/2009