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Risk premia in the German day-ahead electricity market revisited: The impact of negative prices*

* This paper is a replication of an original study

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  • Valitov, Niyaz

Abstract

This paper replicates the study by Viehmann (2011) that investigated risk premia in the German day-ahead electricity market from October 2005 to September 2008. While estimated sizes of risk premia can be replicated, this paper does not reproduce respective standard errors, leading to remarkable differences between the reported significance levels. An extension with data of preceding years points to further differences with respect to size and statistical significance. In addition, this paper analyzes the impact of negative prices on risk premia. Negative electricity prices were introduced in 2008 at the European Power Exchange (EPEX), and in 2013 at the Energy Exchange Austria (EXAA). The results of an econometric analysis suggest that the introduction of negative prices has led to a decrease in risk premia when compared to the period of a positive price regime.

Suggested Citation

  • Valitov, Niyaz, 2019. "Risk premia in the German day-ahead electricity market revisited: The impact of negative prices," Energy Economics, Elsevier, vol. 82(C), pages 70-77.
    • Handle: RePEc:eee:eneeco:v:82:y:2019:i:c:p:70-77
    DOI: 10.1016/j.eneco.2018.01.020
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    References listed on IDEAS

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    Citations

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    Cited by:

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    2. Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
    3. Liu, Shuangquan & Xie, Mengfei, 2020. "Modeling the daily generation schedules in under-developed electricity markets with high-share renewables: A case study of Yunnan in China," Energy, Elsevier, vol. 201(C).
    4. Michelfelder, Richard A. & Pilotte, Eugene A., 2021. "The electricity production cost curve during extreme winter weather," Journal of Economics and Business, Elsevier, vol. 117(C).
    5. Martínez-Jaramillo, Juan Esteban & van Ackere, Ann & Larsen, Erik R., 2022. "Transitioning towards a 100% solar-hydro based generation: A system dynamic approach," Energy, Elsevier, vol. 239(PD).
    6. Corbet, Shaen & Goodell, John W. & Günay, Samet, 2020. "Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19," Energy Economics, Elsevier, vol. 92(C).
    7. Sousa, Joana & Soares, Isabel, 2020. "Demand response, market design and risk: A literature review," Utilities Policy, Elsevier, vol. 66(C).

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    Replication

    This item is a replication of:
  • Viehmann, Johannes, 2011. "Risk premiums in the German day-ahead Electricity Market," Energy Policy, Elsevier, vol. 39(1), pages 386-394, January.

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