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Dynamic analysis of the German day-ahead electricity spot market

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  • Paschen, Marius

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.

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  • Paschen, Marius, 2016. "Dynamic analysis of the German day-ahead electricity spot market," Energy Economics, Elsevier, vol. 59(C), pages 118-128.
    • Handle: RePEc:eee:eneeco:v:59:y:2016:i:c:p:118-128
    DOI: 10.1016/j.eneco.2016.07.019
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    More about this item

    Keywords

    Electricity market; Spot prices; Wind and solar power dynamics; Structural vector autoregressive model; Structural impulse response functions;
    All these keywords.

    JEL classification:

    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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