The Impact of Renewable Energy Forecasts on Intraday Electricity Prices

Sergei Kulakov and Florian Ziel

Papers from arXiv.org

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 SE 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.

Date: 2019-03, Revised 2019-11
New Economics Papers: this item is included in nep-ene and nep-reg
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Citations: View citations in EconPapers (11)

Published in Economics of Energy and Environmental Policy, 10(1) 2021

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1903.09641

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