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What happens when it's windy in Denmark?: an empirical analysis of wind power on price volatility in the Nordic electricity market

Mauritzen, Johannes
Working paper
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URI
http://hdl.handle.net/11250/164007
Date
2010-12
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  • Discussion papers (FOR) [514]
Abstract
This paper attempts to empirically test the effect that

wind power production in Denmark has on volatility of the nord-pool wholesale electricity prices. The main result is that wind

power tends to significantly reduce intraday volatility but increases

volatility over larger time windows. The negative elasticity for intraday volatility is likely due to a larger-in-magnitude price effect

of wind power on peak hours then off-peak hours. I suggest that this in turn is due to a steeper supply schedule at peak-loads. The

positive elasticities in the wider time windows can be intuitively explained by the greater variability of the supply when large amounts

of wind power are present. These finding have ramifications for investment in power generation, balancing as well as transmission

capacity.
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2010:18

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