Price Determinants in the German Intraday Market for Electricity: An Empirical Analysis
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.
|Date of creation:||Oct 2013|
|Date of revision:||Oct 2013|
|Contact details of provider:|| Postal: |
Phone: 0201 - 183 3633
Fax: 0201 - 183 2292
Web page: http://www.ewl.wiwi.uni-due.de
More information through EDIRC
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.:
- Zachmann, Georg, 2008. "Electricity wholesale market prices in Europe: Convergence?," Energy Economics, Elsevier, vol. 30(4), pages 1659-1671, July.
- 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.
- Weigt, Hannes & Hirschhausen, Christian von, 2008. "Price formation and market power in the German wholesale electricity market in 2006," Energy Policy, Elsevier, vol. 36(11), pages 4227-4234, November.
- 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.
- 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.
- repec:taf:applec:45:y:2013:i:18:p:2683-2693 is not listed on IDEAS
- Paul Lehmann & Felix Creutzig & Melf-Hinrich Ehlers & Nele Friedrichsen & Clemens Heuson & Lion Hirth & Robert Pietzcker, 2012. "Carbon Lock-Out: Advancing Renewable Energy Policy in Europe," Energies, MDPI, Open Access Journal, vol. 5(2), pages 323-354, February.
- Bobinaite, Viktorija & Juozapaviciene, Aldona & Staniewski, Marcin & Szczepankowski, Piotr, 2013. "Comparative analysis of features of Polish and Lithuanian Day-ahead electricity market prices," Energy Policy, Elsevier, vol. 63(C), pages 181-196.
- repec:ner:tilbur:urn:nbn:nl:ui:12-3131736 is not listed on IDEAS
- Troy, Niamh & Denny, Eleanor & O'Malley, Mark, 2010. "Base-load cycling on a system with significant wind penetration," MPRA Paper 34848, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- Huisman, Ronald & Mahieu, Ronald, 2003.
"Regime jumps in electricity prices,"
Elsevier, vol. 25(5), pages 425-434, September.
- Huisman, R. & Mahieu, R.J., 2001. "Regime Jumps in Electricity Prices," ERIM Report Series Research in Management ERS-2001-48-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Kristiansen, Tarjei, 2012. "Forecasting Nord Pool day-ahead prices with an autoregressive model," Energy Policy, Elsevier, vol. 49(C), pages 328-332.
- Weron, Rafal & Misiorek, Adam, 2008.
"Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models,"
10428, University Library of Munich, Germany.
- Weron, Rafal & Misiorek, Adam, 2008. "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," International Journal of Forecasting, Elsevier, vol. 24(4), pages 744-763.
- 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.
- Bowden, Nicholas & Payne, James E., 2008. "Short term forecasting of electricity prices for MISO hubs: Evidence from ARIMA-EGARCH models," Energy Economics, Elsevier, vol. 30(6), pages 3186-3197, November.
- Nicolosi, Marco, 2010. "Wind power integration and power system flexibility-An empirical analysis of extreme events in Germany under the new negative price regime," Energy Policy, Elsevier, vol. 38(11), pages 7257-7268, November.
When requesting a correction, please mention this item's handle: RePEc:dui:wpaper:1318. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Andreas Fritz)
If references are entirely missing, you can add them using this form.