Sammanfattning

We investigate the process of electricity price formation in the Swedish intraday market, given a large share of wind power in the Swedish electricity system. According to Karanfil and Li's (2017) approach, if the intraday market is efficient, with large shares of intermittent electricity in the entire electricity system, intraday prices should send signals based on scarcity pricing for balancing power. Based on this theory, we analyze Swedish electricity market data for the period 2015?2018 and find that the Swedish intraday market, despite its small trading volumes, is functioning properly. In particular, our results show that intraday price premia mostly respond to wind power forecast errors and other imbalances resulting from either supply or demand sides of the electricity market, as they should if the intraday market is efficient. The results of wind power forecast errors hold for central and southern Sweden, but not for northern Sweden where the share of wind power production is still very small. However, we find no effect of unplanned nuclear power plant outages on intraday price premia.We investigate the process of electricity price formation in the Swedish intraday market, given a large share of wind power in the Swedish electricity system. According to Karanfil and Li's (2017) approach, if the intraday market is efficient, with large shares of intermittent electricity in the entire electricity system, intraday prices should send signals based on scarcity pricing for balancing power. Based on this theory, we analyze Swedish electricity market data for the period 2015?2018 and find that the Swedish intraday market, despite its small trading volumes, is functioning properly. In particular, our results show that intraday price premia mostly respond to wind power forecast errors and other imbalances resulting from either supply or demand sides of the electricity market, as they should if the intraday market is efficient. The results of wind power forecast errors hold for central and southern Sweden, but not for northern Sweden where the share of wind power production is still very small. However, we find no effect of unplanned nuclear power plant outages on intraday price premia. ? 2021 Elsevier B.V. All rights reserved.

Nyckelord

day-ahead market; electricity; forecast errors; intraday market; intraday price premia; nuclear power outages; Sweden; wind power

Publicerad i

Energy Economics
2021, Volym: 96, artikelnummer: 105159

SLU författare

• Hu, Xiao

  • Institutionen för skogsekonomi, Sveriges lantbruksuniversitet
    

Globala målen

SDG7 Säkerställa tillgång till ekonomiskt överkomlig, tillförlitlig, hållbar och modern energi för alla


UKÄ forskningsämne

Nationalekonomi


Publikationens identifierare

DOI: https://doi.org/10.1016/j.eneco.2021.105159

Permanent länk till denna sida (URI)

https://res.slu.se/id/publ/111261