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Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity Markets

Author

Listed:
  • Jan Niklas Buescher

    (Automatisierungstechnik, RWTH Aachen University, Templergraben 55, 52062 Aachen, Germany)

  • Daria Gottwald

    (ISF Institute for Strategic Finance, FOM University of Applied Sciences for Economics and Management, 45127 Essen, Germany)

  • Florian Momm

    (Energie- und Wasseroekonomik, Hochschule Ruhr West, Duisburger Str. 100, 45479 Muelheim an der Ruhr, Germany)

  • Alexander Zureck

    (ISF Institute for Strategic Finance, FOM University of Applied Sciences for Economics and Management, 45127 Essen, Germany)

Abstract

Our goal is to examine the efficiency of different intraday electricity markets and if any of their price prediction models are more accurate than others. This paper includes a comprehensive review of Germany, France, and Norway’s (NOR1) day-ahead and intraday electricity market prices. These markets represent different energy mixes which would allow us to analyze the impact of the energy mix on the efficiencies of these markets. To draw conclusions about extreme market conditions, (i) we reviewed the market data linked to COVID-19. We expected higher volatility in the lockdowns than before and therefore decrease in the efficiency of the prediction models. With our analysis, (ii) we want to draw conclusions as to whether a mix based mainly on renewable energies such as that in Norway implies lower volatilities even in times of crisis. This would answer (iii) whether a market with an energy mix like Norway is more efficient in highly volatile phases. For the analysis, we use data visualization and statistical models as well as sample and out-of-sample data. Our finding was that while the different price and volatility levels occurred, the direction of the market was similar. We could find evidence that our expectations (i–iii) were met.

Suggested Citation

  • Jan Niklas Buescher & Daria Gottwald & Florian Momm & Alexander Zureck, 2022. "Impact of the COVID-19 Pandemic Crisis on the Efficiency of European Intraday Electricity Markets," Energies, MDPI, vol. 15(10), pages 1-21, May.
    • Handle: RePEc:gam:jeners:v:15:y:2022:i:10:p:3494-:d:812510
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    References listed on IDEAS

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    Cited by:

    1. Teresa Pakulska, 2023. "The Energy Crisis—Looking at the Renewable Transition," Energies, MDPI, vol. 16(15), pages 1-3, July.

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