| dc.description.abstract | This master's thesis delves into the intricate dynamics of electricity price fluctuations in Germany, particularly within the context of the Day-Ahead market. Germany's "Energiewende," an ambitious transition towards renewable energy while phasing out nuclear and fossil fuels, is at the heart of this research. This transition, coupled with geopolitical shocks like the Russian invasion of Ukraine, has introduced new complexities into the energy market, particularly regarding price stability. These factors are analyzed using an autoregressive regression analysis, assessing the influence of various determinants on electricity prices.
The research uncovers that the price of the commodities, natural gas, and coal, are dominant factors in the price fluctuations, with price increases in gas and coal proportional to increases in electricity prices. A 1% increase in gas price leads to an expected increase in the price of electricity in Germany with 0,525%, and 0,495% with a 1% increase in the price of coal. These effects highlight the persistent footprint of fossil fuels within the energy sector. On the other side of the merit order, wind power in Germany also plays a vital role in electricity prices. The results identify that a 1% increase in wind power generation is associated with an expected decrease in electricity prices by 0,254%, underscoring the significance of renewable energy in the electricity market's pricing mechanisms.
The model encounters problems with autocorrelations in the residuals and near-threshold test results for heteroskedasticity. By incorporating HAC robust standard errors, we mitigate this problem. Furthermore, the model needed to go through some changes to satisfy the classical assumptions of time series regression. Some of the time series were treated with adjustments, including seasonality and inflation adjustments, logarithmic transformation, and first-differencing. | en_US |
