An econometric analysis of electricity demand response to price changes at the intra-day horizon: The case of manufacturing industry in West Denmark

Niels Møller () and Frits Møller Andersen

MPRA Paper from University Library of Munich, Germany

Abstract: The use of renewable energy implies a more variable supply of power. Market efficiency may improve if demand can absorb some of this variability by being more flexible, e.g. by responding quickly to changes in the market price of power. To learn about this, in particular, whether demand responds already within the same day, we suggest an econometric model for hourly consumption and price time series. This allows for multi-level seasonality and that information about day-ahead prices does not arrive every hour but every 24th hour (as a vector of 24 prices). We confront the model with data from the manufacturing industry of West Denmark (2007-2011). The results clearly suggest a lack of response. The policy implication is that relying exclusively on hourly price response by consumers for integrating volatile renewable electricity production is questionable. Either hourly price variation has to increase considerably or demand response technologies be installed.

Keywords: Demand Response; Electricity Demand; Day-ahead prices; Econometrics; RegARIMA (search for similar items in EconPapers)
JEL-codes: C22 Q0 Q4 Q41 (search for similar items in EconPapers)
Date: 2015-08-18, Revised 2015-08-15
New Economics Papers: this item is included in nep-ene, nep-ger and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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