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Autoren: 
Paschmann, Martin Heinrich
Datum: 
2017
Schriftenreihe/Nr.: 
EWI Working Paper No. 17/12
Zusammenfassung: 
Analyzing price data from sequential German electricity markets, namely the day-ahead and intraday auction, a puzzling but apparently systematic pattern of price premiums can be identified. The price premiums are highly correlated with the underlying demand profile. As there is evidence that widespread models for electricity forward premiums are not applicable to the market dynamics under analysis, a theoretical model is developed within this article which reveals that non-convexities in only a subset of sequential markets with differing product granularity may cause systematic price premiums at equilibrium. These price premiums may be bidirectional and reflect a value for additional short-term power supply system flexibility.
Schlagwörter: 
sequential market organization
electricity markets
short-term market dynamics
price premiums
arbitrage
JEL: 
C60
C62
C63
D21
D23
D24
D41
D44
D47
L11
Dokumentart: 
Working Paper

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