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Energy Economics

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

Vetenskaplig artikel på engelska
Referens
Lazarczyk, Ewa (2016). ”Market–Specific News and Its Impact on Forward Premia on Electricity Markets”. Energy Economics 54, 326–336. doi.org/10.1016/j.eneco.2015.12.015

Författare
Ewa Lazarczyk

This paper studies the impact of market-specific news on the short-term forward premia on the Nordic electricity market. I show that the short-term premia between the day-ahead and intra-day electricity prices on the Nordic market can be partly explained by the arrival of news specific to the power market. By exploring the types of news, I show that production failures are most important in shaping premia. Production disruptions in coalpowered units are most frequent and have the greatest effect on the differences between the day-ahead and intra-day prices.