Abstract
We estimate fundamental pricing relationships in selected European day-ahead electricity markets. Using a fractionally integrated panel data model with unobserved common effects, we quantify the responsiveness of hourly electricity prices to two fundamental leading indicators of day-ahead markets: the predicted load and renewable generation. The application of fractional cointegration analysis techniques gives further insight into the pricing mechanism of power delivery contracts, enabling us to measure the persistence of fundamental shocks.
Subject
Energy (miscellaneous),Energy Engineering and Power Technology,Renewable Energy, Sustainability and the Environment,Electrical and Electronic Engineering,Control and Optimization,Engineering (miscellaneous)