The Impact of Renewable Energy Forecasts on Intraday Electricity Prices

Sergei Kulakov and Florian Ziel

Economics of Energy & Environmental Policy, 2021, vol. Volume 10, issue Number 1

Abstract: In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves data and errors in wind and solar power forecasts. The model shifts day-ahead supply curves to calculate intraday prices. We apply our model to the German EPEX SPOT data. Our model outperforms both linear and non-linear benchmarks. Our study allows us to conclude that errors in renewable energy forecasts exert a non-linear impact on intraday prices. We demonstrate that additional wind and solar power capacities induce non-linear changes in the intraday price volatility. Finally, we comment on economical and policy implications of our findings.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (10)

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