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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 www.nhh.no Johannes Mauritzen Norwegian School of Economics (NHH) Bergen, Norway johannes.mauritzen@nhh.no johannes.mauritzen@nhh.no IAEE Conference, Stockholm June 20th, 2011 Working paper available at: http://www.nhh.no/en/research---faculty/department-of-finance-and-management- 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 29.06.2014Johannes Mauritzen, johannes.mauritzen@nhh.no2 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 29.06.2014Fornavn Etternavn, navn@nhh.no3

4 Area Price: Denmark East: Average by hour 29.06.2014Fornavn Etternavn, navn@nhh.no4

5 Effect on Daily Price Volatility 29.06.2014Fornavn Etternavn, navn@nhh.no5

6 Notes on Methodology •Dynamic single-equation distributed lag model – ARMA(P,Q) •with exogenous variable –(Is Wind Exogenous?) 29.06.2014Fornavn Etternavn, navn@nhh.no6

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? 29.06.2014Fornavn Etternavn, navn@nhh.no7

8 Log Intraday Variability of Prices 29.06.2014Fornavn Etternavn, navn@nhh.no8

9 Intraday System Price Variation and Wind 29.06.2014Fornavn Etternavn, navn@nhh.no9

10 Intraday Area Price Variation and Wind 29.06.2014Fornavn Etternavn, navn@nhh.no10

11 Intraweekly Price Variation and Wind 29.06.2014Fornavn Etternavn, navn@nhh.no11


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