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Impact of wind and solar production on electricity prices: Quantile regression approach

Do, Linh Phuong Catherine; Lyocsa, Stefan; Molnar, Peter
Peer reviewed, Journal article
Accepted version
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URI
https://hdl.handle.net/11250/2650994
Date
2019
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  • Institutt for industriell økonomi og teknologiledelse [1897]
  • Publikasjoner fra CRIStin - NTNU [19793]
Original version
Journal of the Operational Research Society. 2019, 70 (10), 1752-1768.   10.1080/01605682.2019.1634783
Abstract
We study the impact of fuel prices, emission allowances, demand, past prices, wind and solar production on hourly day-ahead electricity prices in Germany over the period from January 2015 until June 2018. Working within a linear regression, ARX-EGARCH and quantile regression framework we compare how different pricing factors influence the mean and quantiles of the electricity prices. Contrary to the existing literature, we find that short-term price fluctuations on the fuel markets and emission allowances have little effect on the electricity prices. We also find that day-of-the-week as well as monthly effects have significant impact on the electricity prices in Germany and should not be ignored in model specifications. Three main factors are found to drive extreme prices: price persistence, expected demand and expected wind production. Our findings contribute to understanding of extreme price movements, which can be used in pricing models and hedging strategies.
Publisher
Taylor & Francis
Journal
Journal of the Operational Research Society

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