infonet-economy

Power-to-gas (P2G) is a technology that converts electrical power to gas fuels like methane for storage in the natural gas grid. Due to the low efficiency, the production of synthetic methane is only profitable if electricity is sufficiently cheap. However, P2G facilities are flexible consumers and can benefit from short-term price fluctuations on the electricity spot market. We use...

This paper develops and applies a novel estimation procedure for quantile regressions with time-varying coefficients based on a fully parametric, multifactor specification. The algorithm recursively filters the multifactor dynamic coefficients with a Kalman filter and parameters are estimated by maximum likelihood. The likelihood function is built on the Skewed-Laplace assumption. In...

Structural models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we aim at understanding the dynamics of the risk premium (the drift in the dynamics) and the noise (non-Gaussian, stochastic volatility) in futures prices for electricity. We...

We propose a novel regime-switching approach for the simulation of electricity spot prices that is inspired by the class of fundamental models and takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are derived given an observed forward curve. We distinguish between a base regime and an...

The trading activity in the German intraday electricity market has increased significantly over the last years. This is partially due to an increasing share of renewable energy, wind and photovoltaic, which requires power generators to balance out the forecasting errors in their production. We investigate the bidding behavior in the intraday market by looking at both last prices and...

We propose a novel regime-switching approach for modeling electricity spot prices that takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are based on an observed forward curve. We distinguish between a base regime and an upper as well as a lower spike regime. The model parameters are...

We analyze the impact of renewable energies, wind and photovoltaic, on the formation of day-ahead electricity prices at EEX. We give an overview of the policy decisions concerning the promotion of renewable energy sources in Germany, and discuss their consequences on day-ahead prices. An analysis of electricity spot prices reveals that the introduction of renewable energies enhances...