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

Author

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  • Lazarczyk, Ewa

    (Research Institute of Industrial Economics (IFN))

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.

Suggested Citation

  • Lazarczyk, Ewa, 2013. "Market Specific News and Its Impact on Electricity Prices – Forward Premia," Working Paper Series 953, Research Institute of Industrial Economics, revised 20 Aug 2013.
    • Handle: RePEc:hhs:iuiwop:0953
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    References listed on IDEAS

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    1. Severin Borenstein & James Bushnell & Christopher R. Knittel & Catherine Wolfram, 2008. "Inefficiencies And Market Power In Financial Arbitrage: A Study Of California'S Electricity Markets," Journal of Industrial Economics, Wiley Blackwell, vol. 56(2), pages 347-378, June.
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    More about this item

    Keywords

    Intra-day electricity market; Forward premia; Market specific news; Supply shocks;
    All these keywords.

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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