Working Paper No. 953

Market Specific News and Its Impact on Electricity Prices – Forward Premia

Published: January 31, 2013, revised August 2013Pages: 27Keywords: Intra-day electricity market; Forward premia; Market specific news; Supply shocksJEL-codes: D40; G14; L94; Q40
Published version

Market Specific News and Its Impact on Electricity Prices – Forward Premia Ewa Lazarczyk


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.

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