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Research Institute of Industrial Economics (IFN) Working Paper Series

No 953:
Market Specific News and Its Impact on Electricity Prices – Forward Premia

Ewa Lazarczyk ()

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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