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On the impact of weather on German hourly power prices

  • Kosater, Peter
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    The liberalization of electricity markets has triggered research in econometric modelling and forecasting of electricity spot prices. Moreover, both the demand and the supply of electricity are subject to weather conditions. Therefore, we examine the relation between hourly electricity spot prices from the European Energy Exchange and weather, represented by temperature and wind velocity. Furthermore, we assess whether the relation can be successfully exploited for forecasting. Thereby, we proceed in the framework of Markov regime-switching models which have become a workhorse in econometric modelling of electricity spot prices. As a result, we detect a strong relationship, on one hand. On the other hand, the significance of this relation for forecasting is confined to certain hours.

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    File URL: http://econstor.eu/bitstream/10419/26737/1/513015213.PDF
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    Paper provided by University of Cologne, Institute of Econometrics and Statistics in its series Discussion Papers in Econometrics and Statistics with number 1/06.

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    Date of creation: 2006
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    Handle: RePEc:zbw:ucdpse:106
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    Web page: http://www.wisostat.uni-koeln.de/
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    1. Rafal Weron & Adam Misiorek, 2005. "Forecasting Spot Electricity Prices With Time Series Models," Econometrics 0504001, EconWPA.
    2. repec:ner:tilbur:urn:nbn:nl:ui:12-3131736 is not listed on IDEAS
    3. Huisman, Ronald & Mahieu, Ronald, 2003. "Regime jumps in electricity prices," Energy Economics, Elsevier, vol. 25(5), pages 425-434, September.
    4. Alvaro Escribano & Juan Ignacio Peña & Pablo Villaplana, 2002. "Modeling Electricity Prices: International Evidence," Economics Working Papers we022708, Universidad Carlos III, Departamento de Economía.
    5. Kosater, Peter & Mosler, Karl, 2006. "Can Markov regime-switching models improve power-price forecasts? Evidence from German daily power prices," Applied Energy, Elsevier, vol. 83(9), pages 943-958, September.
    6. Kim, C-J., 1991. "Dynamic Linear Models with Markov-Switching," Papers 91-8, York (Canada) - Department of Economics.
    7. Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, EconWPA.
    8. Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004. "Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices," Econometric Society 2004 Australasian Meetings 158, Econometric Society.
    9. Crespo Cuaresma, Jesús & Hlouskova, Jaroslava & Kossmeier, Stephan & Obersteiner, Michael, 2004. "Forecasting electricity spot-prices using linear univariate time-series models," Applied Energy, Elsevier, vol. 77(1), pages 87-106, January.
    10. Mount, Timothy D. & Ning, Yumei & Cai, Xiaobin, 2006. "Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters," Energy Economics, Elsevier, vol. 28(1), pages 62-80, January.
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