Market Specific News and Its Impact on Electricity Prices – Forward Premia

Ewa Lazarczyk ()

No 953, Working Paper Series from Research Institute of Industrial Economics

Abstract: This paper studies the impact of market specific news on the short-time forward premia on the Scandinavian electricity market. I show that the short time premia between the day-ahead and intra-day electricity prices on the Scandinavian market can be explained by the arrival of news specific to the power market. By exploring the types of news I indicate that production failures shape the 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: D40 G14 L94 Q40 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2013-01-31, Revised 2013-08-20
New Economics Papers: this item is included in nep-ene and nep-ind
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.ifn.se/wfiles/wp/wp953.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:iuiwop:0953

Access Statistics for this paper

More papers in Working Paper Series from Research Institute of Industrial Economics Research Institute of Industrial Economics, Box 55665, SE-102 15 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Elisabeth Gustafsson ().