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When Supply Meets Demand: The Case of Hourly Spot Electricity Prices

Author

Listed:
  • Alexander Boogert

    (Department of Economics, Mathematics & Statistics, Birkbeck)

  • Dominique Dupont

Abstract

We use a supply-demand framework to model the hourly day-ahead spot price of electricity based on publicly available information. With the model we can forecast the level and the probability of a spike in the spot price de¯ned as the spot price being above a certain threshold. Several European countries have recently started publishing day-ahead forecasts of the available supply. In this paper we show potential uses of such indicators and test their forecasting power in an hourly spot price model. We conclude that a forecast of the available supply can be part of a useful indicator and discuss ways to further improve the forecasts.

Suggested Citation

  • Alexander Boogert & Dominique Dupont, 2007. "When Supply Meets Demand: The Case of Hourly Spot Electricity Prices," Birkbeck Working Papers in Economics and Finance 0707, Birkbeck, Department of Economics, Mathematics & Statistics.
    • Handle: RePEc:bbk:bbkefp:0707
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    File URL: https://eprints.bbk.ac.uk/id/eprint/26909
    File Function: First version, 2007
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    References listed on IDEAS

    as
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    Cited by:

    1. Kanamura, Takashi & O[combining macron]hashi, Kazuhiko, 2008. "On transition probabilities of regime switching in electricity prices," Energy Economics, Elsevier, vol. 30(3), pages 1158-1172, May.

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