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Price Determinants in the German Intraday Market for Electricity: An Empirical Analysis

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  • Simon Hagemann

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    Abstract

    This 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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    File URL: http://www.wiwi.uni-due.de/fileadmin/fileupload/BWL-ENERGIE/Arbeitspapiere/RePEc/pdf/wp1318_PriceDeterminantsInTheGermanIntradayMarketForElectricityAnEmpiricalAnalysis.pdf
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    Bibliographic Info

    Paper provided by University of Duisburg-Essen, Chair for Management Science and Energy Economics in its series EWL Working Papers with number 1318.

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    Length: 31 pages
    Date of creation: Oct 2013
    Date of revision: Oct 2013
    Handle: RePEc:dui:wpaper:1318

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    Related research

    Keywords: Intraday market for electricity; price modeling; price determinants;

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    1. Huisman, R. & Mahieu, R.J., 2003. "Regime jumps in electricity prices," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3131736, Tilburg University.
    2. Thure Traber & Claudia Kemfert, 2009. "Gone with the Wind?: Electricity Market Prices and Incentives to Invest in Thermal Power Plants under Increasing Wind Energy Supply," Discussion Papers of DIW Berlin 852, DIW Berlin, German Institute for Economic Research.
    3. repec:taf:applec:45:y:2013:i:18:p:2683-2693 is not listed on IDEAS
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    12. Christoph Weber & Oliver Woll, 2007. "Merit-Order-Effekte Von Erneuerbaren Energien - Zu Schoen Um Wahr Zu Sein?," EWL Working Papers 0701, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Sep 2007.
    13. Keles, Dogan & Genoese, Massimo & Möst, Dominik & Fichtner, Wolf, 2012. "Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices," Energy Economics, Elsevier, vol. 34(4), pages 1012-1032.
    14. Kristiansen, Tarjei, 2012. "Forecasting Nord Pool day-ahead prices with an autoregressive model," Energy Policy, Elsevier, vol. 49(C), pages 328-332.
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    16. Janina Ketterer, 2012. "The Impact of Wind Power Generation on the Electricity Price in Germany," Ifo Working Paper Series Ifo Working Paper No. 143, Ifo Institute for Economic Research at the University of Munich.
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