What Happens When it's Windy in Denmark? An Empirical Analysis of Wind Power on Price Variability in the Nordic Electricity Market

34 Pages Posted: 26 Apr 2012

See all articles by Johannes Mauritzen

Johannes Mauritzen

NTNU Business School; Norwegian School of Economics (NHH) - Department of Business and Management Science

Date Written: April 24, 2012

Abstract

This paper attempts to test the effect that wind power production has on the variability of wholesale electricity prices in the spot market. I use a simple distributed lag econometric model and five years worth of hourly and daily data from Denmark, which is one of the few places with a long history of significant wind power penetration. I show that wind power has the effect of reducing intra-day variability but that this result only partially carries over to price variation over weekly time windows. I suggest that the reduction in price variability in turn is due to a steeper supply schedule at peak-load times.

Keywords: Wind Power, Nordic Electricity Market, Empirical, Time Series

Suggested Citation

Mauritzen, Johannes, What Happens When it's Windy in Denmark? An Empirical Analysis of Wind Power on Price Variability in the Nordic Electricity Market (April 24, 2012). IFN Working Paper No. 889, Available at SSRN: https://ssrn.com/abstract=2045489 or http://dx.doi.org/10.2139/ssrn.2045489

Johannes Mauritzen (Contact Author)

NTNU Business School ( email )

NTNU Handelshøyskolen
Trondheim, Trøndelag 7491
Norway

Norwegian School of Economics (NHH) - Department of Business and Management Science ( email )

Helleveien 30
Bergen, NO-5045
Norway

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