风电发展对电力现货价格风险溢出效应研究——基于对美国PJM市场风力发电量与现货价格数据的模拟测算  

Research on the Spillover Effect of Wind Power Development on Electricity Spot Price Risk——Based on the simulation of wind power generation and spot price data in the US PJM market

作　　者：孙辉 李逸欣 吴伟杰 朱蕾 郑敏嘉 张伊宁 

机构地区：[1]广东电网有限责任公司电网规划研究中心 [2]中国电力企业联合会电力建设技术经济咨询中心

出　　处：《价格理论与实践》2022年第2期69-73,共5页Price:Theory & Practice

基　　金：广东电网有限责任公司科技项目。

摘　　要：随着电力市场化改革的逐步深入,风电等可再生能源发展将对电力市场现货价格带来较大影响。本文构建风电发展对电力现货价格风险溢出效应测算模型,并基于2019-2021年美国PJM市场风力发电量和电力现货价格数据测算风电发展对电力现货价格风险溢出效应。研究结果表明:风力发电量与电力现货价格之间存在负向动态相关系数,风力发电量的增加会使得电力现货价格下行;风电大规模入网会使电力现货价格的波动性增加,风险溢出效应明显。基于此,应加强电价风险防范工作、加快我国电力现货市场化建设、结合国情寻求政策与市场的平衡。With the gradual deepening of the reform of electricity marketization,the development of renewable energy such as wind power will have a greater impact on the spot price of the electricity market.In this paper,a model for calculating the risk spillover effect of wind power development on the spot price of electricity is constructed,and the risk spillover effect of wind power development on the spot price of electricity is calculated based on the data of wind power generation and spot price of electricity in the US PJM market from 2019 to 2021.The results show that there is a negative dynamic correlation coefficient between wind power generation and electricity spot price,and the increase of wind power generation will make the spot price of electricity decline;the large-scale entry of wind power into the grid will increase the volatility of the spot price of electricity,and the risk spillover effect is obvious.Based on this,we should strengthen the prevention of electricity price risks,accelerate the construction of China’s electricity spot marketization,and seek a balance between policy and market in combination with national conditions.

关 键 词：风电发展 电力现货价格 风险溢出效应 DCC-GARCH-CoVaR模型 

分 类 号：F426.61[经济管理—产业经济] F471.2