Template-Type: ReDIF-Article 1.0
Author-Name:  Sergei Kulakov and Florian Ziel
Title:  The Impact of Renewable Energy Forecasts on Intraday Electricity Prices
Classification-JEL: F0
Volume:  Volume 10
Issue:  Number 1
Year:  2021
Abstract:  In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves data and errors in wind and solar power forecasts. The model shifts day-ahead supply curves to calculate intraday prices. We apply our model to the German EPEX SPOT data. Our model outperforms both linear and non-linear benchmarks. Our study allows us to conclude that errors in renewable energy forecasts exert a non-linear impact on intraday prices. We demonstrate that additional wind and solar power capacities induce non-linear changes in the intraday price volatility. Finally, we comment on economical and policy implications of our findings.
Handle: RePEc:aen:eeepjl:eeep10-1-Kulakov
File-URL: http://www.iaee.org/en/publications/eeeparticle.aspx?id=354
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