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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
Contact details of provider:
Postal: Research Institute of Industrial Economics, Box 55665, SE-102 15 Stockholm, Sweden
Phone: +46 8 665 4500
Fax: +46 8 665 4599
Web page: http://www.ifn.se/
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
- 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.:
- Botterud, Audun & Kristiansen, Tarjei & Ilic, Marija D., 2010. "The relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, vol. 32(5), pages 967-978, September.
- Christopher Knittel & Catherine Wolfram & James Bushnell & Severin Borenstein, 2006.
"Inefficiencies and Market Power in Financial Arbitrage: A Study of California’s Electricity Markets,"
630, University of California, Davis, Department of Economics.
- Borenstein, Severin & Bushnell, James & Knittel, Chris & Wolfram, Catherine, 2008. "Inefficiencies and Market Power in Financial Arbitrage: A Study of California's Electricity Markets," Staff General Research Papers 13133, Iowa State University, Department of Economics.
- Knittel, Christopher & Wolfram, Catherine & Bushnell, James & Borenstein, Severin, 2006. "Inefficiencies and Market Power in Financial Arbitrage: A Study of California's Electricity Markets," Working Papers 06-30, University of California at Davis, Department of Economics.
- Francis A. Longstaff & Ashley W. Wang, 2004. "Electricity Forward Prices: A High-Frequency Empirical Analysis," Journal of Finance, American Finance Association, vol. 59(4), pages 1877-1900, 08.
- Douglas, Stratford & Popova, Julia, 2008.
"Storage and the electricity forward premium,"
Elsevier, vol. 30(4), pages 1712-1727, July.
- Demirer, RIza & Kutan, Ali M., 2010. "The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective," Energy Economics, Elsevier, vol. 32(6), pages 1467-1476, November.
- Lester Hadsell & Hany A. Shawky, 2006. "Electricity Price Volatility and the Marginal Cost of Congestion: An Empirical Study of Peak Hours on the NYISO Market, 2001-2004," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 157-180.
- Redl, Christian & Haas, Reinhard & Huber, Claus & Böhm, Bernhard, 2009. "Price formation in electricity forward markets and the relevance of systematic forecast errors," Energy Economics, Elsevier, vol. 31(3), pages 356-364, May.
- Hendrik Bessembinder & Michael L. Lemmon, 2002. "Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets," Journal of Finance, American Finance Association, vol. 57(3), pages 1347-1382, 06.
- Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, vol. 24(4), pages 764-785.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Elisabeth Gustafsson).
If references are entirely missing, you can add them using this form.