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On the market impact of wind energy forecasts (2010)
| Content Provider | CiteSeerX |
|---|---|
| Author | Jónsson, Tryggvi Pierre Pinson, A. Henrik Madsen, A. |
| Abstract | 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. |
| File Format | |
| Journal | Energy Economics |
| Language | English |
| Publisher Date | 2010-01-01 |
| Access Restriction | Open |
| Subject Keyword | Wind Energy Forecast Market Impact Gaussian Residual Wind Power Forecast Distributional Property Elspot Market Electricity Spot Price Spot Price Day-ahead Wind Power Forecast Day-ahead Electricity Market Revealed Effect Electricity Spot Price Model Day-ahead Electricity Spot Price Model Type Average Price Behaviour Average Behaviour Time Variation Western Danish Price Area Different Scenario Least Square Technique Price Distribution Nord Pool Widespread Assumption Non-parametric Regression Model Wind Power Conditional Price Distribution Test Case |
| Content Type | Text |
| Resource Type | Article |
