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Market-specific news and its impact on forward premia on electricity markets

Ewa Lazarczyk ()

Energy Economics, 2016, vol. 54, issue C, pages 326-336

Abstract: This paper studies the impact of market-specific news on the short-term forward premia on the Nordic electricity market. I show that the short-term premia between the day-ahead and intra-day electricity prices on the Nordic market can be partly explained by the arrival of news specific to the power market. By exploring the types of news, I show that production failures are most important in shaping 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.

Keywords: Intra-day electricity market; Forward premia; Market-specific news; Supply shocks (search for similar items in EconPapers)
JEL-codes: D4 G14 L94 Q4 (search for similar items in EconPapers)
Date: 2016
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