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Dynamic analysis of the German day-ahead electricity spot market

Marius Paschen ()

Energy Economics, 2016, vol. 59, issue C, 118-128

Abstract: This paper analyzes the dynamic behavior of day-ahead spot prices in the German electricity spot market due to positive structural shocks in wind and solar power. It uses a dynamic structural vector autoregressive model to estimate the related structural impulse response functions. The estimates suggest that wind power shocks have a more prolonged negative effect on spot prices than solar power shocks. Significant autocorrelations of wind power for larger lags indicate these results. The total negative merit order effect of a solar power shock is larger when using a reasonable model specification. One reason might be that solar power shocks coincide with demand peaks. However, results regarding the relation of the effects of wind and solar should be dealt with carefully because these results do not hold for all specifications. Past static estimates show differences in the total average negative merit order effects. These estimates might be overstated if wind and solar power dynamics are transferred to the merit order effects.

Keywords: Electricity market; Spot prices; Wind and solar power dynamics; Structural vector autoregressive model; Structural impulse response functions (search for similar items in EconPapers)
JEL-codes: C32 C51 Q41 Q42 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Working Paper: Dynamic Analysis of the German Day-Ahead Electricity Spot Market (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:59:y:2016:i:c:p:118-128

DOI: 10.1016/j.eneco.2016.07.019

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