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Johannes Mauritzen Norwegian School of Economics (NHH) Bergen, Norway IAEE Conference, Stockholm.

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Presentation on theme: "Johannes Mauritzen Norwegian School of Economics (NHH) Bergen, Norway IAEE Conference, Stockholm."— Presentation transcript:

1 Johannes Mauritzen Norwegian School of Economics (NHH) Bergen, Norway IAEE Conference, Stockholm June 20th, 2011 Working paper available at: science/discussion-papers.aspx WHAT HAPPENS WHEN IT'S WINDY IN DENMARK? AN EMPIRICAL ANALYSIS OF WIND POWER ON PRICE VARIABILITY IN THE NORDIC ELECTRICITY MARKET

2 Johannes Mauritzen, Wind Power Capacity in Denmark

3 Litterature •Bach 2009, Renewable Energy Foundation Publication •Econ Pøyry Group 2009, Elforsk Rapport, 09(102) •Holttinen 2004, VTT Publication •Enevoldsen, IBT Wind •Hadsel et all 2004, The Energy Journal Fornavn Etternavn,

4 Area Price: Denmark East: Average by hour Fornavn Etternavn,

5 Effect on Daily Price Volatility Fornavn Etternavn,

6 Notes on Methodology •Dynamic single-equation distributed lag model – ARMA(P,Q) •with exogenous variable –(Is Wind Exogenous?) Fornavn Etternavn,

7 Notes on Methodology •Dynamic single-equation distributed lag model – ARMA(P,Q) •with exogenous variable –(Is Wind Exogenous?) •Non-parametrically defined variability –Why not ARCH/GARCH? Fornavn Etternavn,

8 Log Intraday Variability of Prices Fornavn Etternavn,

9 Intraday System Price Variation and Wind Fornavn Etternavn,

10 Intraday Area Price Variation and Wind Fornavn Etternavn,

11 Intraweekly Price Variation and Wind Fornavn Etternavn,


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