Title :
The impact of wind generation on the mean and volatility of electricity prices in Portugal
Author :
Pereira, Joao Pedro ; Rodrigues, Paulo M. M.
Author_Institution :
Nova Sch. of Bus. & Econ., Univ. Nova de Lisboa, Lisbon, Portugal
Abstract :
This paper analyzes the impact of wind power generation on the mean and variance of electricity wholesale spot prices in Portugal. The Portuguese market is a natural setting to measure the effect of intermittent renewable generation on electricity prices, as the share of wind in total load demand is one of the largest in the world. Using daily data from 2007 to 2014, we estimate an ARX-EGARCHX model where wind generation and total load demand enter as exogenous explanatory variables for the electricity price. The results show that wind generation reduces the average price level, while it increases the price volatility. Both the mean and volatility effects are substantially stronger for day-time peak prices than for night-time base-load prices.
Keywords :
autoregressive processes; demand side management; power generation economics; power markets; pricing; wind power; ARX-EGARCHX model; Portuguese market; autoregressive structure; electricity wholesale spot price volatility; generalised autoregressive conditional heteroscedastic model; intermittent renewable generation; load demand; wind power generation; Economics; Mathematical model; Renewable energy sources; Wind; Wind energy; Wind energy generation; Wind power generation; EGARCH; Electricity price; Intermittent wind power;
Conference_Titel :
European Energy Market (EEM), 2015 12th International Conference on the
Conference_Location :
Lisbon
DOI :
10.1109/EEM.2015.7216714
