Scandinavian Working Papers in Economics

Working Paper Series,
Research Institute of Industrial Economics

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

Ewa Lazarczyk ()
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Ewa Lazarczyk: Research Institute of Industrial Economics (IFN), Postal: P.O. Box 55665, SE-102 15 Stockholm, Sweden

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

JEL-codes: D40; G14; L94; Q40

27 pages, First version: January 31, 2013. Revised: August 20, 2013.

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