Spatial Dependencies of Wind Power and Interrelations with Spot Price Dynamics

Christina Elberg () and Simeon Hagspiel ()
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Christina Elberg: Energiewirtschaftliches Institut an der Universitaet zu Koeln
Simeon Hagspiel: Energiewirtschaftliches Institut an der Universitaet zu Koeln

No 2013-11, EWI Working Papers from Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI)

Abstract: Wind power has seen a strong growth over the last decade. Due to its high intermittency, spot prices have become more volatile and exhibit correlated behavior with wind power fed into the system. In this paper, we develop a stochastic simulation model that incorporates the spatial dependencies of wind power and its interrelations with spot prices: We employ a structural supply and demand based model for the electricity spot price that takes into account stochastic production quantities of wind power. Spatial dependencies are modeled with the help of copulas, thus linking the single turbine wind power to the aggregated wind power in a market. The model is applied to the German electricity market where wind power already today makes up a significant share of total power production. Revenue distributions and the market value of diff erent wind power plants are analyzed. We fi nd that the speci fic location of the considered wind turbine, i.e. its spatial dependency with respect to the aggregated wind power in the system, is of high relevance for its market value. Many of the analyzed locations show an upper tail dependence that adversely impacts the market value. This e ffect becomes more important for increasing levels of wind power penetration.

Keywords: Market Value; Wind Power; Market Integration; Copula; Structural Supply and Demand Model; Spot Price Model; Monte Carlo Simulation (search for similar items in EconPapers)
JEL-codes: C15 C51 Q41 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2013-06-24
New Economics Papers: this item is included in nep-ene and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:ewikln:2013_011

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