a transmission cost based model to estimate the amount of market integrable wind resources in the pursuit of the large scale integration of wind power production it is imperative to evaluate plausible frictions among the stochastic nature of wind generation electricity markets and the investments in transmission required to accommodate larger amounts of wind if wind producers are made to share the expenses in transmission derived from their integration they may see the doors of electricity markets closed for not being competitive enough this paper presents a model to decide the amount of wind resources that are economically exploitable at a given location from a transmission cost perspective this model accounts for the uncertain character of wind by using a modeling framework based on stochastic optimization simulates market barriers by means of a bi level structure and considers the financial risk of investments in transmission through the conditional value at risk the major features of the proposed model which is efficiently solved using benders decomposition are discussed through an illustrative example

forecasting energy markets using support vector machines abstract in this paper we investigate the efficiency of a support vector machine svm based forecasting model for the next day directional change of electricity prices we first adjust the best autoregressive svm model and then we enhance it with various related variables the system is tested on the daily phelix index of the german and austrian control area of the european energy exchange ee wholesale electricity market the forecast accuracy we achieved is 76 12 over a 200 day period

competition and coalition formation of renewable power producers we investigate group formations and strategic behaviors of renewable power producers in electricity markets these producers currently bid into the day ahead market in a conservative fashion because of the real time risk associated with not meeting their bid amount it has been suggested in the literature that producers would bid less conservatively if they can form large groups to take advantages of spatial diversity to reduce the uncertainty in their aggregate output we show that large groups of renewable producers would act strategically to lower the aggregate output because of market power to maximize renewable power production we characterize the trade off between market power and generation uncertainty as a function of the size of the groups we show there is a sweet spot in the sense that there exists groups that are large enough to achieve the uncertainty reduction of the grand coalition but are small enough such that they have no significant market power we consider both independent and correlated forecast errors under a fixed real time penalty we also consider a real time market where both selling and buying of energy are allowed we validate our claims using pjm and nrel data

further evidence on the marginal gains in accuracy of alternative levels of specificity of the producer price indexes in the process of evaluating the reliability of the current cost data required to be disclosed by its statement no 33 fasb 1979 the financial accounting standards board fasb is soliciting empirical evidence on the accuracy of price indexes for estimating the current cost of machinery and equipment see fasb 1983 sunder and waymire 1983 presented some preliminary evidence that the marginal gains in accuracy from increasing the specificity of price indexes utilized as measurement techniques for three approximations of the u s economy were not substantial their hypothetical economies consisted of portfolios of 15 68 and 199 commodities represented by selected price indexes from the two digit three digit and four digit producer price indexes ppi respectively most of the indexes they selected represent inventorytype commodities in the absence of actual price data the sunder and waymire 1983 methodology provides a means to assess only the relative efficiency of various aggregations of the ppi to estimate the current costs of assets

market price behavior of wholesale electricity products texas abstract applying a regression based approach to a newly developed sample of over 60 000 hourly observations for 01 01 2011 12 30 2017 we answer the question what moves the day ahead market dam prices for energy and ancillary services as and the real time market rtm price for energy in the electric reliability council of texas ercot our answer comprises the following findings that capture the interdependence of ercot s energy and as products 1 the dam energy price increases with the day ahead forecasts of natural gas price system load and as requirements but declines with nuclear and wind generation s forecasts 2 the as prices increase with the dam energy price and the as procurement forecasts but decline with the as offer forecasts and 3 the rtm energy price increases with the dam energy price but diverges from the dam energy price due to forecasting errors related to the dam energy price s fundamental drivers these findings imply that texas can reduce the prices for day ahead energy day ahead as and real time energy via wind generation development and demand side management further texas can improve its electricity trading efficiency by improving ercot s forecast accuracy to narrow the rtm energy price s divergence from the dam energy price

modeling and forecasting electricity prices with input output hidden markov models in competitive electricity markets in addition to the uncertainty of exogenous variables such as energy demand water inflows and availability of generation units and fuel costs participants are faced with the uncertainty of their competitors behavior the analysis of electricity price time series reflects a switching nature related to discrete changes in competitors strategies which can be represented by a set of dynamic models sequenced together by a markov chain an input output hidden markov model iohmm is proposed for analyzing and forecasting electricity spot prices the model provides both good predictions in terms of accuracy as well as dynamic information about the market in this way different market states are identified and characterized by their more relevant explanatory variables moreover a conditional probability transition matrix governs the probabilities of remaining in the same state or changing to another whenever a new market session is opened the model has been successfully applied to real clearing prices in the spanish electricity market

the dark side of the sun how solar power production affects the market value of solar and gas sources abstract using daily data for the italian wholesale day ahead power market over the period 2008 2013 we assess the impact of solar production on the market value of solar and gas sources defined using the concepts of value factor and unit revenues we find that on average solar generation negatively affects the solar source market value causing a departure from the grid parity condition and mining their competitiveness once public incentives are removed this negative relation is not constant over time and becomes stronger for increasing solar penetration in the energy mix interestingly the opposite is found when looking at gas while the relation between solar production and the gas market value is negative or not significant when the former is low it turns positive for higher levels of solar production this is the result of a change in gas producers bidding strategies indeed in the italian power market the highest hourly price has shifted from the peak daytime when solar production is concentrated to the off peak nighttime when solar is absent from the market and gas can exploit temporary market power

effect of wind generation on ercot nodal prices abstract in this paper we utilize nodal price data at each thermal generation facility within the ercot footprint between 2014 and 2016 to revisit an empirical question of great interest to various parties how does wind integration affect the wholesale energy price we find that for every additional 1000 mw of wind generation in a real time 15 minute settlement interval nodal prices at non wind resources would be suppressed by 1 45 mwh to 4 45 mwh with considerable heterogeneity across time and space

the impact of renewable energy forecast errors on imbalance volumes and electricity spot prices abstract this paper contributes to the general consideration of whether a policy of incentivising system operators to improve the quality and market availability of forecasts for renewable energy outputs would be beneficial using data from the german electricity market we investigate the effect of wind and solar energy forecasts errors on imbalance volumes and subsequent spot electricity prices we use ordinary least squares regression quantile regression and autoregressive moving averages to identify these relationships using variables that have a quarter hourly data granularity the results show that higher wind and solar forecast errors increase the absolute values of imbalance volumes and that these can pass through into higher spot prices we find that wind forecast errors in germany impact spot prices more than solar forecasting errors policy incentives to improve the accuracy and availability of renewable energy forecasts by the system operators should therefore be encouraged

energy market design for renewable resources imbalance settlements and efficiency robustness tradeoffs this paper examines optimal energy market bidding behavior for stochastic resources when energy imbalance payments are determined endogenously from market clearing conditions some electricity markets require wind producers to settle day ahead offers based on their real time energy production this is usually justified by economic and cost causation principles without considering the effects of these policies on curtailment and system balancing costs under these real time settlement requirements demand and wind forecast errors impact the effective penalty price so strategic behavior affects the penalty price paid by producers this paper formulates a two stage game where producers place energy bids in the day ahead market and then choose a curtailment level in real time and it derives the symmetric subgame perfect equilibrium strategy for producers it details how supply curve convexity and resource correlation can lead wind producers to bid conservatively even when they are not risk averse the results show that market based pricing mechanisms improve tradeoffs between system efficiency and mean squared bid error as compared to the case where penalty levels are determined by alternative policies suggesting additional benefits of market based penalty prices beyond those previously studied

trading wind generation in short term energy markets even with state of the art forecasting methods the short term generation of wind farms cannot be predicted with a high degree of accuracy in a market situation these forecasting errors lead to commercial risk through imbalance costs when advance contracting this situation is one that needs to be addressed due to the steady increase in the amount of grid connected wind generation combined with the rise of deregulated market orientated electricity systems in the presence of imbalance prices and uncertain generation a method is required to determine the optimum level of contract energy to be sold on the advance markets such a method is presented here using markov probabilities for a wind farm and demonstrates substantial reductions in the imbalance costs the effect of market closure delays and forecasting window lengths are also shown

redistribution effects of energy and climate policy the electricity market abstract energy and climate policies are usually seen as measures to internalize externalities however as a side effect the introduction of these policies redistributes wealth between consumers and producers and within these groups while redistribution is seldom the focus of the academic literature in energy economics it plays a central role in public debates and policy decisions this paper compares the distributional effects of two major electricity policies support schemes for renewable energy sources and co2 pricing we find that the redistribution effects of both policies are large and they work in opposed directions while renewables support transfers wealth from producers to consumers carbon pricing does the opposite more specifically we show that moderate amounts of wind subsidies can increase consumer surplus even if consumers bear the subsidy costs co2 pricing in contrast increases aggregated producer surplus even without free allocation of emission allowances however not all types of producers benefit these findings are derived from an analytical model of electricity markets and a calibrated numerical model of northwestern europe our findings imply that if policy makers want to avoid large redistribution they might prefer a mix of policies even if co2 pricing alone is the first best climate policy in terms of allocative efficiency

electricity prices large scale renewable integration and policy implications abstract this paper investigates the effects of intermittent solar and wind power generation on electricity price formation in germany we use daily data from 2010 to 2015 a period with profound modifications in the german electricity market the most notable being the rapid integration of photovoltaic and wind power sources as well as the phasing out of nuclear energy in the context of a garch in mean model we show that both solar and wind power granger cause electricity prices that solar power generation reduces the volatility of electricity prices by scaling down the use of peak load power plants and that wind power generation increases the volatility of electricity prices by challenging electricity market flexibility

joint price and volumetric risk in wind power trading a copula approach abstract this paper examines the dependence between wind power production and electricity prices and discusses its implications for the pricing and the risk distributions associated with contracts that are exposed to joint price and volumetric risk we propose a copula model for the joint behavior of prices and wind power production which is estimated to data from the danish power market we find that the marginal behavior of the individual variables is best described by arma garch models with non gaussian error distributions and the preferred copula model is a time varying gaussian copula as an application of our joint model we consider the case of an energy trading company entering into longer term agreements with wind power producers where the fluctuating future wind power production is bought at a predetermined fixed price we find that assuming independence between prices and wind power production leads to an underestimation of risk as the profit distribution becomes left skewed when the negative dependence that we find in the data is accounted for by performing a simple static hedge in the forward market we show that the risk can be significantly reduced furthermore an out of sample study shows that the choice of copula influences the price of correlation risk and that time varying copulas are superior to the constant ones when comparing actual profits generated with different models

minimization of imbalance cost trading wind power on the short term power market present power markets are designed for trading conventional generation for wind generation to participate in a short term energy market lengthy wind power production forecasts are required although wind speed forecasting techniques are constantly improving wind speed forecasts are never perfect and resulting wind power forecast errors imply imbalance costs for wind farm owners in this paper a new method for minimization of imbalance costs is developed stochastic programming is used to generate optimal wind power production bids for a short term power market a wind power forecast error is represented as a stochastic process the imbalance costs resulting from this strategy are then compared to the case when wind power production bids on a short term power market are based directly on a wind speed forecast

the impact of intermittently renewable energy on italian wholesale electricity prices additional benefits or additional costs abstract most studies of the literature find that the development of renewable energy sources determines a decrease in the wholesale prices some authors use this finding to state that the current subsidies for renewable technologies cannot be considered as excessive by carrying out a hybrid analysis both simulation and ex post empirical analyses of the case of photovoltaic energy in italy this article demonstrates that this result cannot be generalised under market power an increase in pv production can provide benefits in terms of a wholesale price decrease only beyond a specific threshold and especially if combined with other effects otherwise it is likely that pv development could imply an increase in prices therefore on the one hand caution is necessary when using the estimated change in wholesale prices to evaluate the net cost for consumers of the supporting policies for renewables either the simulation based models or the full empirical analyses may be misleading on the other hand if decarbonisation is the main objective the energy policies should be designed in order to assure a deep and balanced penetration of the clean technologies regardless of their estimated transitory impact on wholesale prices and in the meantime reviewing the organisation of power markets

renewable generation and electricity prices taking stock and new evidence for germany and austria abstract economic theory predicts that the increase of renewable electricity production should reduce the price of electricity in the short run which is also known as the merit order effect although the merit order effect is only one of several consequences of renewable production on the electricity system it is crucial to determine its size for the economic evaluation of renewable energies in this paper we present a comprehensive overview of relevant past research results on the price effect of renewables additionally we conduct a new empirical analysis of the price effect of renewable production for the austrian german region a market that clearly qualifies for a merit order effect analysis given its characteristics based on the review and our own analysis we show that the merit order effect varies depending on the region and the assessment method chosen we also find that the size of this effect is less dispersed throughout different markets than previously suggested by the literature

hourly electricity prices in day ahead markets this paper focuses on the characteristics of hourly electricity prices in day ahead markets in these markets quotes for day ahead delivery of electricity are submitted simultaneously for all hours in the next day the same information set is used for quoting all hours of the day the dynamics of hourly electricity prices does not behave as a time series process instead these prices should be treated as a panel in which the prices of 24 cross sectional hours vary from day to day this paper introduces a panel model for hourly electricity prices in day ahead markets and examines their characteristics the results show that hourly electricity prices exhibit hourly specific mean reversion and that they oscillate around an hourly specific mean price level furthermore a block structured cross sectional correlation pattern between the hours is apparent

short term load forecasting methods an evaluation based on european data this paper uses intraday electricity demand data from ten european countries as the basis of an empirical comparison of univariate methods for prediction up to a day ahead a notable feature of the time series is the presence of both an in traweek and an intraday seasonal cycle the forecasting methods considered in the study include arima modeling periodic ar modeling an extension for double seasonality of holt winters exponential smoothing a recently proposed alternative exponential smoothing formulation and a method based on the principal component analysis pca of the daily demand profiles our results show a similar ranking of methods across the 10 load series the results were disappointing for the new alternative exponential smoothing method and for the periodic ar model the arima and pca methods performed well but the method that consistently performed the best was the double seasonal holt winters exponential smoothing method

a game theoretic analysis of wind generation variability on electricity markets wind generation variability in an energy only market such australian national electricity market nem can create significant revenue uncertainties for incumbent generators and substantially increase price risks faced by retailers this paper presents a cournot game model to formally analyze how high volatility of wind generation in a concentrated energy only market can raise the peak shoulder period of typically low wind generation prices to offset the foregone revenue during off peak periods of high wind generation a monte carlo simulation around a cournot game is formulated as an inter temporal nonlinear optimization problem to assess these issues the model is implemented for the south australian zone of the australian nem that has experienced high growth in wind generation in recent years the model results support some of the observed spot pricing behavior in the region in recent years these findings have significant ramifications for the efficacy of the energy only market in scenarios with high penetration of intermittent generation

impacts of variable renewable energy on wholesale markets and generating assets in the united states a review of expectations and evidence abstract we synthesize available literature data and analysis on the degree to which growth in variable renewable energy vre has impacted or might in the future impact bulk power system assets pricing and costs in the united states most studies of future scenarios indicate that vre reduces wholesale energy prices and capacity factors of thermal generators traditional baseload generators are more exposed to these changing market conditions than low capital cost and more flexible intermediate and peak load generators from analysis of historical data we find that vre is already influencing the bulk power market through changes in temporal and geographic patterns areas with higher levels of vre the most significant observed impacts have concentrated in areas with significant vre and or nuclear generation along with limited transmission with negative pricing also often occurring during periods with lower system wide load so far however vre has had a relatively modest impact on historical average annual wholesale prices across entire market regions at least in comparison to other drivers the reduction of natural gas prices is the primary contributor to the decline in wholesale prices since 2008 similarly vre impacts on thermal plant retirements have been limited and there is little relationship between the location of recent retirements and vre penetration levels although impacts on wholesale prices have been modest so far impacts of vre on the electricity market will be more significant under higher vre penetrations

on the market impact of wind energy forecasts this paper presents an analysis of how day ahead electricity spot prices are affected by day ahead wind power forecasts demonstration of this relationship is given as a test case for the western danish price area of the nord pool s elspot market impact on the average price behaviour is investigated as well as that on the distributional properties of the price by using a non parametric regression model to assess the effects of wind power forecasts on the average behaviour the non linearities and time variations in the relationship are captured well and the effects are shown to be quite substantial furthermore by evaluating the distributional properties of the spot prices under different scenarios the impact of the wind power forecasts on the price distribution is proved to be considerable the conditional price distribution is moreover shown to be non gaussian this implies that forecasting models for electricity spot prices for which parameters are estimated by a least squares techniques will not have gaussian residuals hence the widespread assumption of gaussian residuals from electricity spot price models is shown to be inadequate for these model types the revealed effects are likely to be observable and qualitatively similar in other day ahead electricity markets significantly penetrated by wind power

on the effectiveness of the anti gaming policy between the day ahead and real time electricity markets in the netherlands in this paper we study the linkage between two related markets for electricity in the netherlands the day ahead market and the real time market the dutch regulator wants to prevent trading across these two markets and has set up a dual pricing system for this purpose in this paper we test the effectiveness of this policy by studying the ex post profitability of trading strategies spanning the two markets over various time segments our results show that profits generated by these strategies are rarely positive on average and always characterized by very large potential losses which dwarf the mean profit when the latter is positive

empirical analysis of the merit order effect and the missing money problem in power markets with high res shares an on going debate in the energy economics and power market community raises the question if energy only power markets are increasingly failing due to growing feed in shares from subsidized renewable energy sources res the argument being essentially that the merit order effect of res production depresses day ahead spot market prices which in turn creates a situation where power plant owners cannot recover investment costs missing money problem we argue in short that energy only power markets are not failing in principle but are rather facing several market distortions that hinder proper market functioning namely 1 the gap between the electricity volume actually traded at day ahead spot markets versus the overall electricity consumption and 2 the regulatory assumption that variable res generation i e wind and photovoltaic pv truly has zero marginal operation and grid integration costs in this paper we show that both effects over amplify the well known merit order effect of res power feed in and indirectly also the missing money problem beyond a level that is explainable by underlying physical realities we empirically analyze the impacts of wind and pv power feed in on the day ahead market for the epex german austrian market zone a region that is already today experiencing significant feed in tariff fit subsidized res power feed in ca 20 fit share our analysis shows that if necessary regulatory adaptations are taken i e increasing the spot market s share of overall load demand and using the true marginal costs of res units in the merit order energy based power markets remain functional despite high res power feed in

energy models for demand forecasting a review abstract energy is vital for sustainable development of any nation be it social economic or environment in the past decade energy consumption has increased exponentially globally energy management is crucial for the future economic prosperity and environmental security energy is linked to industrial production agricultural output health access to water population education quality of life etc energy demand management is required for proper allocation of the available resources during the last decade several new techniques are being used for energy demand management to accurately predict the future energy needs in this paper an attempt is made to review the various energy demand forecasting models traditional methods such as time series regression econometric arima as well as soft computing techniques such as fuzzy logic genetic algorithm and neural networks are being extensively used for demand side management support vector regression ant colony and particle swarm optimization are new techniques being adopted for energy demand forecasting bottom up models such as markal and leap are also being used at the national and regional level for energy demand management

is renewable energy a cost effective mitigation resource an application to the spanish electricity market abstract this paper evaluates the net effect of renewable energy policy in spain from 2002 to 2017 and calculates its cost effectiveness in terms of co2 emission reductions in the production of electricity our conclusions indicate that although the phasing out of feed in tariffs reduced the regulatory costs it also limited renewable participation in the electricity market leading to an increased electricity price and higher emissions according to our results the joint effect of i the value of avoided emissions due to renewable energy participation and ii the merit order effect was able to compensate for the regulatory costs subsidies up until 2010 while the sign of the net effect was reversed from 2011 to 2017 finally we find that the economic implications of emission reductions are highly dependent on how the social cost of carbon is measured

the regulating power market on the nordic power exchange nord pool an econometric analysis abstract what differentiates the structure of nord pool from other power exchanges around the world is the way the balance from the spot market is maintained until the actual physical delivery takes place via the regulating power market in norway this paper reveals the pattern of the prices on the regulating power market by analysing the cost of being unable to fulfil the commitments made on the spot market some power producers with unpredictable fluctuations e g wind will need to buy regulation services the disclosed pattern implies that these producers must pay a limited premium of readiness in addition to the spot price this premium is independent of the amount of regulation the level of the premium of readiness for down regulation is shown to be strongly influenced by the level of the spot price on the other hand it is demonstrated that the premium for up regulation is less correlated to the spot price furthermore it is found that the amount of regulation affects the price of regulating power for up regulation more strongly than it does for down regulation the disclosed cost of using the regulating power market is a quadratic function of the amount of regulation this asymmetric cost may encourage bidders with fluctuating production to be more strategic in their way of bidding on the spot market by using such strategies the extra costs for example wind power needed to counter unpredictable fluctuations may be limited

an empirical test of the effect of asset aggregation on valuation accuracy significant increases in the general price level during the past two decades have precipitated an ongoing debate concerning possible inadequacies of financial reports and taxation laws based on historical costs many proposed solutions have centered on various methods of asset valuation two american accounting association committees 1964 and 1966 suggested that direct methods of valuation estimation appraisal market quotation were theoretically preferred but that adjustments by price indices could be used as surrogates regarding the latter however there is some uncertainty about how many price indices should be used in the valuation process some suggest that a number of price indices will be necessary to ensure reasonably accurate valuations arthur andersen co 1979 in contrast others suggest that the use of numerous indices may not significantly improve valuation accuracy boersema 1974 and sunder s 1978 analysis shows that the use of additional indices sometimes results in less accurate valuation the purpose of this paper is to offer empirical evidence concerning the effect of the number of price indices on the accuracy of valuation in section 1 i briefly review prior works that have addressed similar research questions the methodology is described in section 2 followed by the results and analysis in section 3 section 4 contains the limitations and conclusions of the study

trading wind generation from short term probabilistic forecasts of wind power due to the fluctuating nature of the wind resource a wind power producer participating in a liberalized electricity market is subject to penalties related to regulation costs accurate forecasts of wind generation are therefore paramount for reducing such penalties and thus maximizing revenue despite the fact that increasing accuracy in spot forecasts may reduce penalties this paper shows that if such forecasts are accompanied with information on their uncertainty i e in the form of predictive distributions then this can be the basis for defining advanced strategies for market participation such strategies permit to further increase revenues and thus enhance competitiveness of wind generation compared to other forms of dispatchable generation this paper formulates a general methodology for deriving optimal bidding strategies based on probabilistic forecasts of wind generation as well as on modeling of the sensitivity a wind power producer may have to regulation costs the benefits resulting from the application of these strategies are clearly demonstrated on the test case of the participation of a multi mw wind farm in the dutch electricity market over a year

retrospective modeling of the merit order effect on wholesale electricity prices from distributed photovoltaic generation in the australian national electricity market in electricity markets that use a merit order dispatch system generation capacity is ranked by the price that it is bid into the market demand is then met by dispatching electricity according to this rank from the lowest to the highest bid the last capacity dispatched sets the price received by all generation ensuring the lowest cost provision of electricity a consequence of this system is that significant deployments of low marginal cost electricity generators including renewables can reduce the spot price of electricity in australia this prospect has been recognized in concern expressed by some coalfired generators that delivering too much renewable generation would reduce wholesale electricity prices in this analysis we calculate the likely reduction of wholesale prices through this merit order effect on the australian national electricity market we calculate that for 5 gw of capacity comparable to the present per capita installation of photovoltaics in germany the reduction in wholesale prices would have been worth in excess of a 1 8 billion over 2009 and 2010 all other factors being equal we explore the implications of our findings for feed in tariff policies and find that they could deliver savings to consumers contrary to prevailing criticisms that they are a regressive form of taxation

comprehensive value assessment of wind power by layer great emphasis has been placed on rational value assessment of wind power in system in recent times because there are different properties in various output levels of wind power there should also be different values this paper proposes a novel method for value assessment of wind power to get a more comprehensive and accurate evaluation wind power outputs are divided horizontally based on the wind layer model then comprehensive studies of cost and benefit are conducted layer by layer furthermore the detailed characteristics in layers storage benefit and value allocation are analyzed after that the sensitivities about the chosen system parameters region size and demand side participation are discussed at length the effectiveness and rationality of the model are proved by the case study the model assesses the value of wind power more precisely and profoundly which would provide significant guidance in the setting of price policy for wind power and market supervision

electricity market price and nuclear power plant shutdown evidence from california abstract japan s fukushima nuclear disaster triggered by the march 11 2011 earthquake has led to calls for shutting down existing nuclear plants to maintain resource adequacy for a grid s reliable operation one option is to expand conventional generation whose marginal unit is typically fueled by natural gas two timely and relevant questions thus arise for a deregulated wholesale electricity market 1 what is the likely price increase due to a nuclear plant shutdown and 2 what can be done to mitigate the price increase to answer these questions we perform a regression analysis of a large sample of hourly real time electricity market price data from the california independent system operator caiso for the 33 month sample period of april 2010 december 2012 our analysis indicates that the 2013 shutdown of the state s san onofre plant raised the caiso real time hourly market prices by 6 mwh to 9 mwh and that the price increases could have been offset by a combination of demand reduction increasing solar generation and increasing wind generation

simulating the impact of wind production on locational marginal prices this paper analyzes the impact of wind production on the locational marginal prices of a fully competitive pool based electricity market wind productions are modeled as negative loads and characterized by historical data records the analysis pertains to the structural relationship between wind production and locational marginal prices and disregards the collateral effect of strategic offering the study presented allows a statistical characterization of locational marginal prices as a function of the statistical data of the wind plants and the structure of the considered electric energy system

a retrospective analysis of benefits and impacts of u s renewable portfolio standards abstract as states consider revising or developing renewable portfolio standards rps they are evaluating policy costs benefits and other impacts we present the first u s national level assessment of state rps program benefits and impacts focusing on new renewable electricity resources used to meet rps compliance obligations in 2013 in our central case scenario reductions in life cycle greenhouse gas emissions from displaced fossil fuel generated electricity resulted in 2 2 billion of global benefits health and environmental benefits from reductions in criteria air pollutants sulfur dioxide nitrogen oxides and particulate matter 2 5 were even greater estimated at 5 2 billion in the central case further benefits accrued in the form of reductions in water withdrawals and consumption for power generation finally although best considered resource transfers rather than net societal benefits new renewable electricity generation used for rps compliance in 2013 also supported nearly 200 000 u s based gross jobs and reduced wholesale electricity prices and natural gas prices saving consumers a combined 1 3 4 9 billion in total the estimated benefits and impacts well exceed previous estimates of rps compliance costs

the welfare economic theory of green national accounts this paper takes a critical look at the literature on green national accounts the problem studied is to find a linear index of economic variables that responds to perturbations in the same direction as social well being the thesis of a large literature that net national product which is a flow is that index in closed economies is shown in some interpretations to be simply false and in others to suffer from deep estimation problems it is argued that capital depreciation using shadow prices should certainly be included in national accounts but that the right welfare index is a comprehensive measure of wealth defined as the shadow value of an economy s stock of all capital assets it is shown that comprehensive wealth is usable as a criterion for policy evaluation as well as for determining sustainable economic development

stochastic factor model for electricity spot price the case of the nordic market this paper presents a stochastic factor based approach to mid term modeling of spot prices in deregulated electricity markets the fundamentals affecting the spot price are modeled independently and a market equilibrium model combines them to form spot price main advantage of the model is the transparency of the generated prices because each underlying factor and the dynamics between factors can be modeled and studied in detail paper shows realistic numerical examples on the forerunner scandinavian electricity market the model is used to price an exotic electricity derivative

price and resource related uncertainty in the estimation of the revenue of a wind farm the revenue that wind farms produce is subject to the inherent uncertainty of the wind resource in the short run and the long term this revenue is subject to an additional price related uncertainty in jurisdictions where the output of the wind farms is paid at the prices cleared at the local electricity market an econometric model is developed to estimate the risks of using limited information in the estimation of the annual revenue of a wind farm sensitivities that measure the influence of each uncertainty factor in the overall risks are also developed an application example is shown by which investors or policy makers may determine how typical wind farm capital costs may influence financial project feasibility under a predetermined risk

has renewable energy induced competitive behavior in the spanish electricity market abstract recent energy policy has favored a massive introduction of renewable energy sources on electricity markets which has greatly impacted their performance first the electricity price has decreased as a consequence of the so called merit order effect another relevant effect is associated to the intermittent nature of renewable energy which has increased the cost of ancillary services a third and important aspect less addressed in the literature is the induced change in the strategic behavior of the conventional electricity producers in principle the entry of new generators in a concentrated market would make it more competitive and change the strategic behavior of the incumbents we test this hypothesis for the spanish wholesale market while we find no significant change in behavior for nuclear hydropower and coal a change is observed in combined cycle bidding strategies after the entry of renewable generators our analysis shows that the massive entry of renewable energy sources made other generators behavior more competitive in the short run but the effect was not persistent

merit order effects of renewable energy and price divergence in california s day ahead and real time electricity markets abstract we answer two policy questions 1 what are the estimated merit order effects of renewable energy in the california independent system operator s caiso s day ahead market dam and real time market rtm and 2 what causes the hourly dam and rtm prices to systematically diverge the first question is timely and relevant because if the merit order effect estimates are small california s renewable energy development is of limited help in cutting electricity consumers bills but also has a lesser adverse impact on the state s investment incentive for natural gas fired generation the second question is related to the efficient market hypothesis under which the hourly rtm and dam prices tend to converge using a sample of about 21 000 hourly observations of caiso market prices and their fundamental drivers during 12 12 2012 04 30 2015 we document statistically significant estimates p value 0 01 for the dam and rtm merit order effects this finding lends support to california s adopted procurement process to provide sufficient investment incentives for natural gas fired generation we document that the rtm dam price divergence partly depends on the casio s day ahead forecast errors for system loads and renewable energy this finding suggests that improving the performance of the caiso s day ahead forecasts can enhance trading efficiency in california s dam and rtm electricity markets

the plunge in german electricity futures prices analysis using a parsimonious fundamental model abstract the german market has seen a plunge in wholesale electricity prices from 2007 until 2014 with base futures prices dropping by more than 40 this is frequently attributed to the unexpected high increase in renewable power generation using a parsimonious fundamental model we determine the respective impact of supply and demand shocks on electricity futures prices the used methodology is based on a piecewise linear approximation of the supply stack and time varying price inelastic demand this parsimonious model is able to replicate electricity futures prices and discover non linear dependencies in futures price formation we show that emission prices have a higher impact on power prices than renewable penetration changes in renewables demand and installed capacities turn out to be similarly important for explaining the decrease in operation margins of conventional power plants we thus argue for the establishment of an independent authority to stabilize emission prices

lower electricity prices and greenhouse gas emissions due to rooftop solar empirical results for massachusetts abstract monthly and hourly correlations among photovoltaic pv capacity utilization electricity prices electricity consumption and the thermal efficiency of power plants in massachusetts reduce electricity prices and carbon emissions beyond average calculations pv utilization rates are highest when the thermal efficiencies of natural gas fired power plants are lowest which reduces emissions of co 2 and ch 4 by 0 3 relative to the annual average emission rate there is a positive correlation between pv utilization rates and electricity prices which raises the implied price of pv electricity by up to 10 relative to the annual average price such that the average mwh reduces electricity prices by 0 26 1 86 per mwh these price reductions save massachusetts rate payers 184 million between 2010 and 2012 the current and net present values of these savings are greater than the cost of solar renewable energy credits which is the policy instrument that is used to accelerate the installation of pv capacity together these results suggest that rooftop pv is an economically viable source of power in massachusetts even though it has not reached socket parity

the impact of renewables on electricity prices in germany an update for the years 2014 2018 abstract increasing electricity prices for private consumers manifested the idea of price boosting renewable energy sources in germany s public opinion literature however widely concurs that wind and photovoltaics have a reducing effect on spot market electricity prices the underlying merit order effect led to historically low exchange prices in the past years to quantify this effect this study analyses historic demand and supply curves from the german day ahead market to reconstruct electricity prices without the feed in of wind and photovoltaics from 2014 to 2018 results show that renewable energy sources considerably reduced electricity prices by between 2 89 ct kwh in 2014 to 8 89 ct kwh in 2017 this allowed german end consumers to save a total of 40 billion from 2014 to 2018 additionally wind and pv contributed significantly to security of supply demand could not have been met by domestic conventional and nuclear generation capacities in up to 424 hours in 2018 the study highlights the necessity to further speed up the expansion of wind and photovoltaics

managing volumetric risk of long term power purchase agreements abstract a negative dependence between wind power production and electricity spot price exists this is an important fact to consider for risk management of long term power purchase agreements ppas in this study we investigate this dependence by constructing a joint model using constant as well as time varying copulas we propose to use score driven models as marginal model for the spot price of electricity as these are more robust to extreme events compared to arma garch models we apply the new model to pricing and risk management of ppas and benchmark it against the arma garch specification our comparison shows that the score driven model results in a statistically significant improvement of predicting the value at risk var which is of high importance for risk management of long term ppas further comparing constant and time varying copulas we find that all time varying copulas are significantly better than their constant counterparts at predicting the var hence time varying copulas should be used in risk management of ppas

revitalising the wind power induced merit order effect to reduce wholesale and retail electricity prices in australia this paper investigates the effect of increasing the number of wind turbine generators on wholesale spot prices in the australian national electricity market s nem given the existing transmission grid from 2014 to 2025 we use a sensitivity analysis to evaluate the effect of five different levels of wind power penetration on prices ranging from scenario a no wind to scenario e that includes existing and planned wind power sufficient to meet australia s original 2020 41twh large scale renewable energy target lret we find divergence in prices between states and similar prices for nodes within states this supports the garnaut climate change review assessment on the prevalence of gold plating the intrastate transmission network and underinvesting in interstate connectivity we find that increasing wind power penetration decreases wholesale spot prices but that retail prices have increased in deregulated south australia and queensland similarly in victoria we argue that there is a pressing need to split the large generator retail companies into separate retail and generator companies and to reassess regulatory rules more generally interconnector congestion limits the potential for wind power to further reduce wholesale prices across the nem so the need for a high capacity transmission backbone in the nem is becoming clearer and will become pressing when australia moves beyond its current 2020 lret

economic consequences of a capacity market implementation the case of poland abstract this paper investigates the potential economic consequences of setting up a capacity market in poland a computable model of the polish power generation system is developed and employed to analyse the impact of this mechanism two scenarios are designed for this study i a reference scenario that reflects the energy only market and ii a capacity market scenario that assumes the implementation of such an instrument to assess the economic consequences the following parameters are estimated i annual electricity prices ii loss of load hours iii expected energy not served and only for the capacity market scenario iv market clearing price v total budget of the capacity market and vi increase in electricity price due to the introduction of the capacity market the findings of the study indicate that the long term maintenance of the energy only market results in higher electricity prices when compared to putting a capacity market into operation introducing a capacity market enables existing resources to be used effectively without excessive capital expenditure the methods and conclusions presented in this paper provide valuable findings and policy insights regarding the potential economic consequences of a capacity mechanism in a power system mostly dominated by coal and undergoing an energy transition

opportunity cost bidding by wind generators in forward markets analytical results wind generation must trade in forward electricity markets based on imperfect forecasts of its output and real time prices when the real time price differs for generators that are short and long the optimal forward strategy must be based on the opportunity costs of charges and payments in real time rather than a central estimate of wind output we present analytical results for wind s optimal forward strategy in the risk neutral case the optimal strategy is determined by the distribution of real time available wind capacity and the expected real time prices conditioned on the forward price and wind out turn our approach is simpler and more computationally efficient than formulations requiring specification of full joint distributions or a large set of scenarios informative closed form examples are derived for particular specifications of the wind price dependence structure in the usual case of uncertain forward prices the optimal bidding strategy generally consists of a bid curve for wind power rather than a fixed quantity bid a discussion of the risk averse problem is also provided an analytical result is available for aversion to production volume risk however we doubt whether wind owners should be risk averse with respect to the income from a single settlement period given the large number of such periods in a year

a combined modeling approach for wind power feed in and electricity spot prices abstract wind power generation and its impacts on electricity prices has strongly increased in the eu therefore appropriate mark to market evaluation of new investments in wind power and energy storage plants should consider the fluctuant generation of wind power and uncertain electricity prices which are affected by wind power feed in wpf to gain the input data for wpf and electricity prices simulation models such as econometric models can serve as a data basis this paper describes a combined modeling approach for the simulation of wpf series and electricity prices considering the impacts of wpf on prices based on an autoregressive approach thereby wpf series are firstly simulated for each hour of the year and integrated in the electricity price model to generate an hourly resolved price series for a year the model results demonstrate that the wpf model delivers satisfying wpf series and that the extended electricity price model considering wpf leads to a significant improvement of the electricity price simulation compared to a model version without wpf effects as the simulated series of wpf and electricity prices also contain the correlation between both series market evaluation of wind power technologies can be accurately done based on these series

the market value of variable renewables the effect of solar wind power variability on their relative price this paper provides a comprehensive discussion of the market value of variable renewable energy vre the inherent variability of wind speeds and solar radiation affects the price that vre generators receive on the market market value during windy and sunny times the additional electricity supply reduces the prices because the drop is larger with more installed capacity the market value of vre falls with higher penetration rate this study aims to develop a better understanding on how the market value with penetration and how policies and prices affect the market value quantitative evidence is derived from a review of published studies regression analysis of market data and the calibrated model of the european electricity market emma we find the value of wind power to fall from 110 of the average power price to 50 80 as wind penetration increases from zero to 30 of total electricity consumption for solar power similarly low value levels are reached already at 15 penetration hence competitive large scale renewable deployment will be more difficult to accomplish than as many anticipate

counterfactual comparisons of investment options for wind power and agricultural production in the united states lessons from northern ohio abstract we analyze potential efficiency gains in wind power projects by comparing counterfactual investment decisions in two different scenarios under a real options framework the first scenario is a standard wind power investment where the investor rents the land from local farms in the second scenario the wind power investor buys the land and commercializes both electricity and crop production thus reducing the revenue risk through the diversification both scenarios have a waiting option with the wholesale prices leading the installation decision we model the electricity price as a mean reverting process with jumps and with different jumping probabilities for the different seasons of the year corn prices follow a mean reverting process the waiting flexibility was modeled as a bundle of european options the results indicate that the waiting option is exercised in 100 of our simulations in both scenarios suggesting the still important role of government policies to stimulate wind power more importantly in more than 90 of the simulations the second scenario brought value to the investment furthermore net present values are more sensitive to reductions in capital costs than electricity prices these results can form the basis for more effective policies for the wind power sector

the merit order effect of wind and solar power volatility and determinants abstract the investment in renewable energy sources power generation is coming into a stall in face of the removal of incentives in most of the european countries the technological maturity of wind and solar power generation is the justification basis and market integration of extensive amounts of renewable energy is seen with concern by electricity systems stakeholders given the low marginal cost of renewable power generation the available load in the spot electricity market for conventional and dispatchable power plants is diminishing the so called merit order effect in this study we estimate the value of the merit order effect due to wind and solar power generation in the iberian electricity market with historical bid supply and demand offers from 2008 to 2017 the estimated values are then used to value determinants and volatility through garch econometric modelling results demonstrate that the merit order effect in iberia is influenced negatively by the residual load and positively by demand wind power and solar power additionally the high merit order effect volatility found mirrors the behavior of spot electricity market

how renewable production depresses electricity prices evidence from the german market abstract the urgency of climate change has led several countries to develop renewable energy in order to reduce co2 emissions through the means of various subsidies in the electricity sector one drawback of such policies is the negative impact on electricity prices known as the merit order effect this paper aims at assessing how intermittent renewable production depresses electricity prices in germany which has experienced a significant increase of its renewable capacity over the last two decades to do so we use a two regime markov switching model that enables to disentangle the impact of wind and solar generation depending on the price being high or low we find as expected that renewable production induces a negative marginal effect which is stronger in regimes of relatively high prices in addition we show that both wind and solar productions have a significant impact on the distribution of prices and in particular on the frequency and expected duration of each regime this has implications in terms of market design security of supply and support mechanisms for renewables

the effect of wind and solar power forecasts on day ahead and intraday electricity prices in germany abstract this study analyzes the effects of wind and solar power generation forecasts on electricity prices converse to the existing empirical literature in this area we apply a panel data analysis to control for endogeneity due to unobserved heterogeneity we use a dataset with 24 daily observations of day ahead and intraday prices from 2010 to 2016 and we apply a fixed effects regression under consideration of robust driscoll kraay standard errors a noteworthy element of the regression model is the simulation based design of a variable indicating the power generation technology that is price determining at a certain point in time in this context we differentiate between the fuel types coal gas and others to model the nonlinear price behavior for a varying demand for 2016 we find price dampening effects of both wind and solar power of approximately 0 6 mwh per additional gwh of feed in along with the rapidly increasing shares of wind and solar power of the total power generation during the last years their price dampening effect has declined since 2013 due to a drop in fuel prices another finding is that a reduction in forecasting errors on the power generation from wind and solar and smoothing of the cyclical demand would lead to a decreased price volatility

pool strategy of a price maker wind power producer we consider the problem of a wind power producer trading energy in short term electricity markets the producer is a price taker in the day ahead market but a price maker in the balancing market and aims at optimizing its expected revenues from these market floors the problem is formulated as a mathematical program with equilibrium constraints mpec and cast as a mixed integer linear program milp which can be solved employing off the shelf optimization software the optimal bid is shown to deliver significantly improved performance compared to traditional bids such as the conditional mean or median forecast of wind power distribution finally sensitivity analyses are carried out to assess the impact on the offering strategy of the producer s penetration in the market of the correlation between wind power production and residual system deviation and of the shape of the forecast distribution of wind power production

wind power and electricity prices at the pjm market increased deployment of wind power generation is changing the landscape of power supply around the world when integrated with electricity markets wind power is also widely known to influence the prices cleared at the market this paper examines the effect of wind power generation on the day ahead market prices in the pjm electricity market using robust econometric models and statistical inference results show that the quantified expected benefits to wholesale market participants may be substantial despite the relatively low wind power penetration levels still observed within the pjm jurisdiction relative to other markets the quantified unitary benefits outweigh by a great margin the renewable energy credits given to qualifying wind farms across the market when benefits outweigh the costs incurred to generate them welfare is accrued to this end benefit allocation mechanisms are proposed which may contribute to the continued development of wind power on the roadmap to a cleaner power industry of the future

are we consuming too much this paper articulates and applies frameworks for examining whether consumption is excessive we consider two criteria for the possible excessiveness or insufficiency of current consumption one is an intertemporal utility maximization criterion actual current consumption is deemed excessive if it is higher than the level of current consumption on the consumption path that maximizes the present discounted value of utility the other is a sustainability criterion which requires that current consumption be consistent with non declining living standards over time we extend previous theoretical approaches by offering a formula for the sustainability criterion that accounts for population growth and technological change in applying this formula we find that some poor regions of the world are failing to meet the sustainability criterion in these regions genuine wealth per capita is falling as investments in human and manufactured capital are not sufficient to offset the depletion of natural capital

texas s operating reserve demand curve s generation investment incentive abstract faced with reserve margin projections well below the adopted target of 13 75 of the system peak forecast the public utility commission of texas on 01 17 2019 ordered the state s grid operator the electric reliability council of texas to right shift the operating reserve demand curve ordc to increase generators revenue from energy sales in ercot s real time market rtm using a large sample of 15 min data for the backcast period of 01 01 2015 through 12 31 2018 we calculate the ordc shift s impact on rtm prices and investment incentives for natural gas fired generation ngfg had the ordc shift been in effect in the backcast period the resulting rtm price increases in 2018 could suffice to justify ngfg investment though not in the prior years of 2015 2016 and 2017 while the actual ordc shift occurred on 03 01 2019 had a large impact on rtm prices in the ensuing six month period of march august 2019 texas s planned renewable generation is expected to erode ngfg s operating profit thus diminishing the ordc s investment incentive over time hence texas s energy only market design will likely need further refinements to solve the missing money problem of inadequate ngfg investment incentive

wind storage interconnection and the cost of electricity generation abstract we evaluate how increasing wind generation affects wholesale electricity prices balancing payments and the cost of subsidies using the irish single electricity market sem as a test system with hourly data from 1 january 2008 to 28 august 2012 we model the spot market using a system of seemingly unrelated regressions sur where the regressions are the 24 hours of the day wind has a negative impact on the system marginal price with every mwh increase in wind generation equal to about 0 2 of the average wind generation in our sample leading to a decrease of the system marginal price of 0 018 mwh or about 0 3 of its average value we use time series models to analyse the balancing market and show that wind generation increases balancing payments as do the forecast errors of demand and wind every mwh of additional wind generation is associated with an increase in constraint payments of 3 2 or about 0 01 lack of storage increases the impact of wind on balancing payments whereas the lack of interconnection has no effect overall wind decreases costs through its effect on the electricity price more than it increases constraint payments even when storage is on outage the effect of wind remains positive after including the cost of subsidies given to wind generation

the impact of renewables on electricity prices in germany an estimation based on historic spot prices in the years 2011 2013 abstract germany s public opinion and media usually attribute increasing electricity prices to the high share of renewables in the german power system but average electricity prices at the european energy exchange dropped during the last years due to an excess of renewable energy this study uses historic market data in order to quantify the effect of renewables on prices historic demand and supply curves from 2011 to 2013 have been used to reconstruct electricity prices under the assumption that no wind and pv would be available the analysis reveals an astonishingly high increase of market prices up to 5 29 ct kwh due to a lack of non renewable power capacities in 2013 the available conventional capacity would not have been able to cover the demand during 269 hours the estimated maximum deficit of 5 6 gw is in good agreement to data published by the german grid operators the discussion of the origin of this deficit leads to the conclusion that the current situation has not been caused by renewables the liberalization of the european energy market established investment risks that hindered required investment a long time before the renewables boomed

does renewable energy generation decrease the volatility of electricity prices an analysis of denmark and germany although variable renewable energy vre technologies with zero marginal costs decrease electricity prices the literature is inconclusive about how the resulting shift in the supply curves impacts price volatility because the flexibility to respond to high peak and low off peak prices is crucial for demand response applications and may compensate for the losses of conventional generators caused by lower average prices there is a need to understand how the penetration of vre affects volatility in this paper we build distributed lag models with danish and german data to estimate the impact of vre generation on electricity price volatility we find that in denmark wind power decreases the daily volatility of prices by flattening the hourly price profile but in germany it increases the volatility because it has a stronger impact on off peak prices our analysis suggests that access to flexible generation capacity and wind power generation patterns contribute to these differing impacts meanwhile solar power decreases price volatility in germany by contrast the weekly volatility of prices increases in both areas due to the intermittency of vre thus policy measures for facilitating the integration of vre should be tailored to such region specific patterns

spatial dependencies of wind power and interrelations with spot price dynamics abstract wind power has seen strong growth over the last decade and increasingly affects electricity spot prices in particular prices are more volatile due to the stochastic nature of wind such that more generation of wind energy yields lower prices therefore it is important to assess the value of wind power at different locations not only for an investor but for the electricity system as a whole in this paper we develop a stochastic simulation model that captures the full spatial dependence structure of wind power by using copulas incorporated into a supply and demand based model for the electricity spot price this model is calibrated with german data we find that the specific location of a turbine i e its spatial dependence with respect to the aggregated wind power in the system is of high relevance for its value many of the locations analyzed show an upper tail dependence that adversely impacts the market value therefore a model that assumes a linear dependence structure would systematically overestimate the market value of wind power in many cases this effect becomes more important for increasing levels of wind power penetration and may render the large scale integration into markets more difficult

is green energy expensive empirical evidence from the spanish electricity market abstract renewable energy promotion and its cost are at the heart of the energy policy debate in many countries the question from an economic perspective is how expensive the promotion of renewable sources through price based incentive schemes is this paper addresses this issue empirically we analyze the spanish electricity market during the period 2008 2012 where renewable energy production rose by 57 to determine how expensive it was we first measure the savings due to the spot price reduction driven by the merit order effect and second we compute the amount paid as incentives to green energy by the electricity system the difference between the two is the net cost of green energy to the electricity markets we present aggregate results for renewable sources as a whole as well as individual results for each technology we show that at the initial stages when renewable capacity was low green energy promotion paid for itself 2008 2009 however from 2010 on when renewable production reached a relatively high level it started to impose a positive net cost on the system finally we found substantial differences among technologies wind energy implied the lowest net cost while solar photovoltaic was the most expensive

impact of wind power generation on european cross border power flows a statistical analysis is performed in order to investigate the relationship between wind power production and cross border power transmission in europe a dataset including physical hourly cross border power exchanges between european countries as dependent variables is used principal component analysis is employed in order to reduce the problem dimension then nonlinear relationships between forecast wind power production as well as spot price in germany by far the largest wind power producer in europe and power flows are modeled using local polynomial regression we find that both forecast wind power production and spot price in germany have substantial nonlinear effects on power transmission on a european scale

evaluating the effect of technology transformation on the electricity utility industry abstract the technology shift from fossil fuelled systems to renewable energies has been promoted by governments with the purpose of decarbonising the power industry however rapid technology progress has prompted disruptive changes that transformed market structures incumbent electricity utilities particularly those based on fossil fuel plant are shifting from their stable and predictable situation to confront challenges from those that offer alternative energy services in this new environment the industry will benefit from mid to long term sector foresight the paper studies the potential impact of renewable energy sources res on electricity systems specifically on the generation and distribution businesses for this purpose a fairly detailed and integrated supply and demand based system dynamics model has been built to quantify the extent of their potential impact the model disaggregates the household sector which may generate a significant part of its electricity using rooftop solar energy this is illustrated by examining a utility engaged in the generation and distribution businesses in the colombian electricity market through simulation runs this paper concludes that subject to policy and all other things remaining equal solar rooftop generation is a major threat for utilities while the generation business is most affected in the short term the distribution business is the one most impacted in the long term and jointly they may induce the utility death spiral

germany s nuclear power plant closures and the integration of electricity markets in europe this paper examines the potential implications of national policies that lead to a sudden increase of wind power in the electricity mix for interconnected european electricity markets more specifically it examines market integration before and after the closures of eight nuclear power plants that occurred within a period of a few months in germany during 2011 the short and long run interrelationships of daily electricity spot prices from november 2009 to october 2012 in apx endex belpex epex de epex fr nordpool omel and swissix and wind power in the german system are analysed two mgarch multivariate generalized autoregressive conditional heteroscedasticity models with dynamic correlations are used to assess spot market behaviour in the short run and a fractional cointegration analysis is conducted to investigate changes in the long run behaviour of electricity spot prices results show positive time varying correlations between spot prices in markets with substantial shared interconnector capacity a negative association between wind power penetration in germany and electricity spot prices in the german and neighbouring markets and for most markets a decreasing speed in mean reversion

economic and environmental implications of different approaches to hedge against wind production uncertainty in two settlement electricity markets a pjm case study abstract this paper examines the economic and environmental outcomes of four two settlement electricity market clearing designs the first design corresponds to a deterministic market clearing dmc similar to the mechanism currently used in organized wholesale electricity markets in the united states the other three designs account for the day ahead da wind power production uncertainty into the da market mechanisms either implicitly or explicitly an augmented deterministic market clearing admc design introduces da ramp capability products these products ensure adequate and ramp feasible electricity generation capacity commitments in the da stage to cope with the real time realization of wind power generation a hybrid deterministic market clearing hdmc design augments admc by explicitly integrating a characterization of wind power production uncertainty into the residual unit commitment ruc process which is run after the da market is closed using stochastic programming the last design referred to as stochastic market clearing smc uses stochastic optimization to explicitly account for wind power production uncertainty in the da market clearing mechanisms i e da unit commitment and economic dispatch the four market clearing designs are assessed by simulating the electricity market operations of a test system and comparing their results in terms of operating costs prices costs and revenues of different types of producers consumer s payments integration of wind power and air emissions the test system has 12 of the capacity of pjm s fossil fired power generation fleet and uses data on coincident demand and wind power production from the bonneville power administration bpa system during years 2010 2014 the simulations are performed hourly for a whole year results show that smc is superior as its costs reductions are more than two times the improvements attained by admc and hdmc also smc results in electricity prices that are better aligned with operation costs cuts the spread between the day ahead and real time prices by 40 reduces out of market short term revenue sufficiency payments by 58 reduces co2 emissions by 3 52 and decreases power plants cycling hdmc is a distant second best market design relative to dmc it achieves a reduction in total costs that is less than half the reduction achieved by smc a reduction in out of market payments that is 80 of the reduction attained by smc and an increase in wind power integration that is

wind power trading under uncertainty in lmp markets this paper presents a new model for optimal trading of wind power in day ahead da electricity markets under uncertainty in wind power and prices the model considers settlement mechanisms in markets with locational marginal prices lmps where wind power is not necessarily penalized from deviations between da schedule and real time rt dispatch we use kernel density estimation to produce a probabilistic wind power forecast whereas uncertainties in da and rt prices are assumed to be gaussian utility theory and conditional value at risk cvar are used to represent the risk preferences of the wind power producers the model is tested on real world data from a large scale wind farm in the united states optimal da bids are derived under different assumptions for risk preferences and deviation penalty schemes the results show that in the absence of a deviation penalty the optimal bidding strategy is largely driven by price expectations a deviation penalty brings the bid closer to the expected wind power forecast furthermore the results illustrate that the proposed model can effectively control the trade off between risk and return for wind power producers operating in volatile electricity markets

accuracy of linear valuation rules in industry segmented environments industry vs economy weighted indexes abstract the comparative ability of valuation rules using economy weighted versus industry weighted price indexes to estimate the unobserved economic value of a basket of assets in modelled industry weighted indexes do not necessarily provide valuations of higher accuracy than economy weighted indexes dominance depends on 1 the relative magnitude of the mean and variability of price changes and 2 the magnitude of errors of measurement in the current price data larger measurement errors favor economy weighted indexes larger mean and variability of prices changes favor industry weighted indexes

dynamic analysis of the german day ahead electricity spot market 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

large scale wind power integration and wholesale electricity trading benefits estimation via an ex post approach abstract the integration of large scale wind power has brought about a series of challenges to the power industry but at the same time a number of benefits are being realized among those the ability of wind power to cause a decline in the electricity market prices has been recognized in quantifying this effect some models used in recent years are based on simulations of the market supply side and the price clearing process the accuracy of the estimates depend on the quality of the input data the veracity of the adopted scenarios and the rigorousness of the solution technique in this work a series of econometric techniques based on actual ex post wind power and electricity price data are implemented for the estimation of the impact of region wide wind power integration on the local electricity market clearing prices and the trading savings that stem from this effect the model is applied to the case of spain where the estimated savings are compared against actual credit and bonus expenses to ratepayers the implications and extent of these results for current and future renewable energy policy making are discussed

the merit order effect of wind and photovoltaic electricity generation in germany 2008 2016 estimation and distributional implications abstract generation from renewable energy sources in germany has experienced a considerable uptake in recent years mainly responsible for this development is the german renewable energy sources act erneuerbare energien gesetz eeg this paper considers redistributive implications of the eeg for different electricity consumers using time series regression analysis we show that electricity generation by wind and pv has reduced spot market prices considerably by 6 mwh in 2010 rising to 10 mwh in 2012 we use these results to build a near term forecasting tool for merit order effects projected to reach 14 16 mwh in 2016 on the other hand the costs of the eeg are passed forward to consumers in the form of a surcharge our findings highlight significant redistributive transfers under the current design of the eeg in particular some energy intensive industries are benefiting from lower wholesale electricity prices whilst being largely exempted from contributing to the costs of the scheme we also highlight implications of our results for other areas for reform of the eeg such as adequate remuneration mechanisms that ensure efficient operation and investment decisions are made under the scheme more generally these findings suggest that policy makers need to integrate distributional assessments into policy design and implementation