Market Specific News and Its Impact on Electricity Prices – Forward Premia
This 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.
|Date of creation:||31 Jan 2013|
|Date of revision:||20 Aug 2013|
|Contact details of provider:|| Postal: |
Phone: +46 8 665 4500
Fax: +46 8 665 4599
Web page: http://www.ifn.se/
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.:
- 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.
- 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.
- Julia Popova & Stratford Douglas, 2006.
"Storage and the Electricity Forward Premium,"
06-16 Classification-, Department of Economics, West Virginia University.
- 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.
- 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.
- 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.
- Christopher Knittel & Catherine Wolfram & James Bushnell & Severin Borenstein, 2006. "Inefficiencies and Market Power in Financial Arbitrage: A Study of California’s Electricity Markets," Working Papers 630, University of California, Davis, Department of Economics.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:hhs:iuiwop:0953. 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: (Elisabeth Gustafsson)
If references are entirely missing, you can add them using this form.