The case of negative day-ahead electricity prices

Enzo Fanone, Andrea Gamba and Marcel Prokopczuk (prokopczuk@fcm.uni-hannover.de)

Energy Economics, 2013, vol. 35, issue C, 22-34

Abstract: In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.

Keywords: Electricity; Lévy processes; Price spikes; Negative prices; Fractional integration (search for similar items in EconPapers)
JEL-codes: C51 C63 Q20 Q40 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (82)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:35:y:2013:i:c:p:22-34

DOI: 10.1016/j.eneco.2011.12.006

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