Working Paper Series
Market Specific News and Its Impact on Electricity Prices – Forward Premia
Abstract: This paper studies the impact of market specific news on
the short-time forward premia on the Scandinavian electricity market. I
show that the short time premia between the day-ahead and intra-day
electricity prices on the Scandinavian market can be explained by the
arrival of news specific to the power market. By exploring the types of
news I indicate that production failures shape the premia. Production
disruptions in coal-powered units are most frequent and have the greatest
effect on the differences between the day-ahead and intra-day prices.
Keywords: Intra-day electricity market; Forward premia; Market specific news; Supply shocks; (follow links to similar papers)
JEL-Codes: D40; G14; L94; Q40; (follow links to similar papers)
27 pages, January 31, 2013, Revised August 20, 2013
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