Market Specific News and Its Impact on Electricity Prices – Forward Premia
AbstractThis paper studies the impact of market specific news on the short-time forward premia on the Scandinavian electricity market. I show that the short time premia between the day-ahead and intra-day electricity prices on the Scandinavian market can be explained by the arrival of news specific to the power market. By exploring the types of news I indicate that production failures shape the premia. Production disruptions in coal-powered units are most frequent and have the greatest effect on the differences between the day-ahead and intra-day prices.
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Bibliographic InfoPaper provided by Research Institute of Industrial Economics in its series Working Paper Series with number 953.
Length: 27 pages
Date of creation: 31 Jan 2013
Date of revision: 20 Aug 2013
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More information through EDIRC
Intra-day electricity market; Forward premia; Market specific news; Supply shocks;
Find related papers by JEL classification:
- D40 - Microeconomics - - Market Structure and Pricing - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
- NEP-ENE-2013-03-09 (Energy Economics)
- NEP-IND-2013-03-09 (Industrial Organization)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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