Price Determinants in the German Intraday Market for Electricity: An Empirical Analysis
AbstractThis paper presents a first investigation of hourly price determinants in the German intraday market for electricity. The influence of power plant outages, forecast errors of wind and solar power production, load forecast errors and foreign demand and supply on intraday prices are explained from a theoretical perspective. Furthermore the influences of the non-linear merit-order shape, ramping costs and strategic market behavior are discussed. The empirical results from different regression analysis with data from 2010 and 2011 show that most price determinants increase and decrease intraday prices as expected. Nevertheless, only a minor share of power plant outages and solar power forecast errors are traded on the electronic intraday trading platform, thus influencing prices not as strongly as expected. Furthermore the price determinants influence intraday prices differently over the course of the day which may be explained by an alternating liquidity provision.
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Bibliographic InfoPaper provided by University of Duisburg-Essen, Chair for Management Science and Energy Economics in its series EWL Working Papers with number 1318.
Length: 31 pages
Date of creation: Oct 2013
Date of revision: Oct 2013
Intraday market for electricity; price modeling; price determinants;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-16 (All new papers)
- NEP-ENE-2013-11-16 (Energy Economics)
- NEP-MST-2013-11-16 (Market Microstructure)
- NEP-REG-2013-11-16 (Regulation)
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