In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves data and errors in wind and solar power forecasts. The model shifts day-ahead supply curves to calculate intraday prices. We apply our model to the German EPEX SPOT SE data. Our model outperforms both linear and non-linear benchmarks. Our study allows us to conclude that errors in renewable energy forecasts exert a non-linear impact on intraday prices. We demonstrate that additional wind and solar power capacities induce non-linear changes in the intraday price volatility. Finally, we comment on economical and policy implications of our findings.
Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
Free University of Bozen-Bolzano（博尔扎诺自由大学）；London Business School（伦敦商学院）；BI Norwegian Business School（挪威商业管理学院）；Vrije Universiteit Amsterdam（阿姆斯特丹自由大学）
