IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-01589279.html
   My bibliography  Save this paper

The Role of Continuous Intraday Electricity Markets: The Integration of Large-Share Wind Power Generation in Denmark

Author

Listed:
  • Fatih Karanfil

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Yuanjing Li

Abstract

This paper suggests an innovative idea to examine the functionality of an intraday electricity market by testing causality among its fundamental components. Using Danish and Nordic data, it investigates the main drivers of the price difference between the intraday and day-ahead markets, and causality between wind forecast errors and their counterparts. Our results show that the wind and conventional generation forecast errors significantly cause the intraday price to differ from the day-ahead price, and that the relative intraday price decreases with the unexpected amount of wind generation. Cross-border electricity exchanges are found to be important to handle wind forecast errors. Additionally, some zonal differences with respect to both causality and impulse responses are detected. This paper provides the first evidence on the persuasive functioning of the intraday market in the case of Denmark, whereby intermittent production deviations are effectively reduced, and wind forecast errors are jointly handled through the responses from demand, conventional generation, and intraday international electricity trade.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Fatih Karanfil & Yuanjing Li, 2017. "The Role of Continuous Intraday Electricity Markets: The Integration of Large-Share Wind Power Generation in Denmark," Post-Print hal-01589279, HAL.
    • Handle: RePEc:hal:journl:hal-01589279
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Arthur Henriot, 2014. "Market Design with Centralized Wind Power Management: Handling Low-predictability in Intraday Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    2. Simon Hagemann & Christoph Weber, 2013. "An Empirical Analysis of Liquidity and its Determinants in The German Intraday Market for Electricity," EWL Working Papers 1317, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2013.
    3. Hiroux, C. & Saguan, M., 2010. "Large-scale wind power in European electricity markets: Time for revisiting support schemes and market designs?," Energy Policy, Elsevier, vol. 38(7), pages 3135-3145, July.
    4. Hirth, Lion & Ueckerdt, Falko & Edenhofer, Ottmar, 2015. "Integration costs revisited – An economic framework for wind and solar variability," Renewable Energy, Elsevier, vol. 74(C), pages 925-939.
    5. Ketterer, Janina C., 2014. "The impact of wind power generation on the electricity price in Germany," Energy Economics, Elsevier, vol. 44(C), pages 270-280.
    6. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    7. Aatola, Piia & Ollikainen, Markku & Toppinen, Anne, 2013. "Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals," Energy Economics, Elsevier, vol. 36(C), pages 380-395.
    8. Chaves-Ávila, José Pablo & Hakvoort, Rudi A. & Ramos, Andrés, 2013. "Short-term strategies for Dutch wind power producers to reduce imbalance costs," Energy Policy, Elsevier, vol. 52(C), pages 573-582.
    9. Severin Borenstein, 2012. "The Private and Public Economics of Renewable Electricity Generation," Journal of Economic Perspectives, American Economic Association, vol. 26(1), pages 67-92, Winter.
    10. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    11. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    12. Frieder Borggrefe & Karsten Neuhoff, 2011. "Balancing and Intraday Market Design: Options for Wind Integration," Discussion Papers of DIW Berlin 1162, DIW Berlin, German Institute for Economic Research.
    13. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    14. Koichiro Ito & Mar Reguant, 2016. "Sequential Markets, Market Power, and Arbitrage," American Economic Review, American Economic Association, vol. 106(7), pages 1921-1957, July.
    15. Paul L. Joskow, 2011. "Comparing the Costs of Intermittent and Dispatchable Electricity Generating Technologies," American Economic Review, American Economic Association, vol. 101(3), pages 238-241, May.
    16. Richard Green and Nicholas Vasilakos, 2012. "Storing Wind for a Rainy Day: What Kind of Electricity Does Denmark Export?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    17. Johannes Mauritzen, 2015. "Now or Later? Trading Wind Power Closer to Real Time And How Poorly Designed Subsidies Lead to Higher Balancing Costs," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
    18. Traber, Thure & Kemfert, Claudia, 2011. "Gone with the wind? -- Electricity market prices and incentives to invest in thermal power plants under increasing wind energy supply," Energy Economics, Elsevier, vol. 33(2), pages 249-256, March.
    19. repec:dui:wpaper:1318 is not listed on IDEAS
    20. Weber, Christoph, 2010. "Adequate intraday market design to enable the integration of wind energy into the European power systems," Energy Policy, Elsevier, vol. 38(7), pages 3155-3163, July.
    21. Holttinen, H., 2005. "Optimal electricity market for wind power," Energy Policy, Elsevier, vol. 33(16), pages 2052-2063, November.
    22. Jónsson, Tryggvi & Pinson, Pierre & Madsen, Henrik, 2010. "On the market impact of wind energy forecasts," Energy Economics, Elsevier, vol. 32(2), pages 313-320, March.
    23. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Muñoz, Francisco D. & Suazo-Martínez, Carlos & Pereira, Eduardo & Moreno, Rodrigo, 2021. "Electricity market design for low-carbon and flexible systems: Room for improvement in Chile," Energy Policy, Elsevier, vol. 148(PB).
    2. Spodniak, Petr & Ollikka, Kimmo & Honkapuro, Samuli, 2019. "The Relevance of Wholesale Electricity Market Places: The Nordic Case," Working Papers 126, VATT Institute for Economic Research.
    3. Thomas Kuppelwieser & David Wozabal, 2023. "Intraday power trading: toward an arms race in weather forecasting?," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 57-83, March.
    4. Spodniak, Petr & Ollikka, Kimmo & Honkapuro, Samuli, 2021. "The impact of wind power and electricity demand on the relevance of different short-term electricity markets: The Nordic case," Applied Energy, Elsevier, vol. 283(C).
    5. Heeseung Moon & Dongsu Lee & Jeongmin Han & Yongtae Yoon & Seungwan Kim, 2021. "Impact of Imbalance Pricing on Variable Renewable Energies with Different Prediction Accuracies: A Korean Case," Energies, MDPI, vol. 14(13), pages 1-19, July.
    6. Mastropietro, Paolo & Rodilla, Pablo & Rangel, Lina Escobar & Batlle, Carlos, 2020. "Reforming the colombian electricity market for an efficient integration of renewables: A proposal," Energy Policy, Elsevier, vol. 139(C).
    7. Holmberg, Pär & Tangerås, Thomas & Ahlqvist, Victor, 2018. "Central- versus Self-Dispatch in Electricity Markets," Working Paper Series 1257, Research Institute of Industrial Economics, revised 27 Mar 2019.
    8. Martin de Lagarde, Cyril & Lantz, Frédéric, 2018. "How renewable production depresses electricity prices: Evidence from the German market," Energy Policy, Elsevier, vol. 117(C), pages 263-277.
    9. Cyril Martin de Lagarde & Frédéric Lantz, 2017. "Impact of Variable Renewable Production on Electriciy Prices in Germany : A Markov Switching Model," Working Papers hal-03187020, HAL.
    10. Christopher Koch & Philipp Maskos, 2020. "Passive Balancing Through Intraday Trading: Whether Interactions Between Short-term Trading and Balancing Stabilize Germany s Electricity System," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 101-112.
    11. Micha{l} Narajewski & Florian Ziel, 2020. "Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories," Papers 2005.01365, arXiv.org, revised Aug 2020.
    12. Hohl, Cody & Lo Prete, Chiara & Radhakrishnan, Ashish & Webster, Mort, 2023. "Intraday markets, wind integration and uplift payments in a regional U.S. power system," Energy Policy, Elsevier, vol. 175(C).
    13. Ioannis Boukas & Damien Ernst & Thibaut Th'eate & Adrien Bolland & Alexandre Huynen & Martin Buchwald & Christelle Wynants & Bertrand Corn'elusse, 2020. "A Deep Reinforcement Learning Framework for Continuous Intraday Market Bidding," Papers 2004.05940, arXiv.org.
    14. Knaut, Andreas & Paschmann, Martin, 2017. "Decoding Restricted Participation in Sequential Electricity Markets," EWI Working Papers 2017-5, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), revised 31 Aug 2017.
    15. Russo, Marianna & Kraft, Emil & Bertsch, Valentin & Keles, Dogan, 2022. "Short-term risk management of electricity retailers under rising shares of decentralized solar generation," Energy Economics, Elsevier, vol. 109(C).
    16. Hu, Xiao & Jaraitė, Jūratė & Kažukauskas, Andrius, 2021. "The effects of wind power on electricity markets: A case study of the Swedish intraday market," Energy Economics, Elsevier, vol. 96(C).
    17. Olivier F'eron & Peter Tankov & Laura Tinsi, 2020. "Price formation and optimal trading in intraday electricity markets," Papers 2009.04786, arXiv.org, revised Jun 2021.
    18. Juraj Čurpek, 2019. "Time Evolution of Hurst Exponent: Czech Wholesale Electricity Market Study," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2019(3), pages 25-44.
    19. Russo, Marianna & Bertsch, Valentin, 2020. "A looming revolution: Implications of self-generation for the risk exposure of retailers," Energy Economics, Elsevier, vol. 92(C).
    20. Narajewski, Michał & Ziel, Florian, 2020. "Ensemble forecasting for intraday electricity prices: Simulating trajectories," Applied Energy, Elsevier, vol. 279(C).
    21. Rainer Baule & Michael Naumann, 2022. "Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market," Energies, MDPI, vol. 15(17), pages 1-28, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hu, Xiao & Jaraitė, Jūratė & Kažukauskas, Andrius, 2021. "The effects of wind power on electricity markets: A case study of the Swedish intraday market," Energy Economics, Elsevier, vol. 96(C).
    2. Hu, Jing & Harmsen, Robert & Crijns-Graus, Wina & Worrell, Ernst & van den Broek, Machteld, 2018. "Identifying barriers to large-scale integration of variable renewable electricity into the electricity market: A literature review of market design," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P2), pages 2181-2195.
    3. Pape, Christian & Hagemann, Simon & Weber, Christoph, 2016. "Are fundamentals enough? Explaining price variations in the German day-ahead and intraday power market," Energy Economics, Elsevier, vol. 54(C), pages 376-387.
    4. repec:dui:wpaper:1502 is not listed on IDEAS
    5. Lee, Chien-Chiang & Chien, Mei-Se, 2010. "Dynamic modelling of energy consumption, capital stock, and real income in G-7 countries," Energy Economics, Elsevier, vol. 32(3), pages 564-581, May.
    6. Jean-Michel Glachant & Arthur Henriot, 2013. "Melting-pots and salad bowls: the current debate on electricity market design for RES integration," Working Papers EPRG 1329, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
    7. Chien-Chiang Lee & Chun-Ping Chang, 2006. "The Long-Run Relationship Between Defence Expenditures And Gdp In Taiwan," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(4), pages 361-385.
    8. Wolfgang Buchholz & Jonas Frank & Hans-Dieter Karl & Johannes Pfeiffer & Karen Pittel & Ursula Triebswetter & Jochen Habermann & Wolfgang Mauch & Thomas Staudacher, 2012. "Die Zukunft der Energiemärkte: Ökonomische Analyse und Bewertung von Potenzialen und Handlungsmöglichkeiten," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 57, October.
    9. Lion Hirth, Falko Ueckerdt, and Ottmar Edenhofer, 2016. "Why Wind Is Not Coal: On the Economics of Electricity Generation," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    10. Hirth, Lion & Ueckerdt, Falko & Edenhofer, Ottmar, 2015. "Integration costs revisited – An economic framework for wind and solar variability," Renewable Energy, Elsevier, vol. 74(C), pages 925-939.
    11. Soytas, Ugur & Sari, Ramazan, 2006. "Energy consumption and income in G-7 countries," Journal of Policy Modeling, Elsevier, vol. 28(7), pages 739-750, October.
    12. repec:dui:wpaper:1318 is not listed on IDEAS
    13. Joan Batalla-Bejerano & Elisa Trujillo-Baute, 2015. "Analysing the sensitivity of electricity system operational costs to deviations in supply and demand," Working Papers 2015/8, Institut d'Economia de Barcelona (IEB).
    14. Ewing, Bradley T. & Sari, Ramazan & Soytas, Ugur, 2007. "Disaggregate energy consumption and industrial output in the United States," Energy Policy, Elsevier, vol. 35(2), pages 1274-1281, February.
    15. Yau, Hwey-Yun & Nieh, Chien-Chung, 2006. "Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate," Journal of Asian Economics, Elsevier, vol. 17(3), pages 535-552, June.
    16. Ugur Soytas, 2006. "Long run relationship between entry and exit: time series evidence from Turkish manufacturing industry," Economics Bulletin, AccessEcon, vol. 12(11), pages 1-12.
    17. Lee, Chien-Chiang & Chiu, Yi-Bin, 2011. "Nuclear energy consumption, oil prices, and economic growth: Evidence from highly industrialized countries," Energy Economics, Elsevier, vol. 33(2), pages 236-248, March.
    18. Gürtler, Marc & Paulsen, Thomas, 2018. "The effect of wind and solar power forecasts on day-ahead and intraday electricity prices in Germany," Energy Economics, Elsevier, vol. 75(C), pages 150-162.
    19. Ketterer, Janina C., 2014. "The impact of wind power generation on the electricity price in Germany," Energy Economics, Elsevier, vol. 44(C), pages 270-280.
    20. Kyritsis, Evangelos & Andersson, Jonas & Serletis, Apostolos, 2017. "Electricity prices, large-scale renewable integration, and policy implications," Energy Policy, Elsevier, vol. 101(C), pages 550-560.
    21. Gabauer, David & Gupta, Rangan, 2020. "Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 167-173.
    22. Pape, Christian, 2018. "The impact of intraday markets on the market value of flexibility — Decomposing effects on profile and the imbalance costs," Energy Economics, Elsevier, vol. 76(C), pages 186-201.

    More about this item

    JEL classification:

    • F0 - International Economics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-01589279. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.