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Market-specific news and its impact on forward premia on electricity markets

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  • Lazarczyk, Ewa
Abstract
This paper studies the impact of market-specific news on the short-term forward premia on the Nordic electricity market. I show that the short-term premia between the day-ahead and intra-day electricity prices on the Nordic market can be partly explained by the arrival of news specific to the power market. By exploring the types of news, I show that production failures are most important in shaping premia. Production disruptions in coal-powered units are most frequent and have the greatest effect on the differences between the day-ahead and intra-day prices.

Suggested Citation

  • Lazarczyk, Ewa, 2016. "Market-specific news and its impact on forward premia on electricity markets," Energy Economics, Elsevier, vol. 54(C), pages 326-336.
    • Handle: RePEc:eee:eneeco:v:54:y:2016:i:c:p:326-336
    DOI: 10.1016/j.eneco.2015.12.015
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    References listed on IDEAS

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    Cited by:

    1. Valitov, Niyaz & Maier, Andreas, 2020. "Asymmetric information in the German intraday electricity market," Energy Economics, Elsevier, vol. 89(C).
    2. Siddiki, Jalal & Singh, Prakash, 2025. "The cost of uncertainty: Analysing the influence of coal price changes, the Russia-Ukraine war and geopolitical risk on risk premiums in the Indian electricity spot market," Energy Economics, Elsevier, vol. 141(C).
    3. Valitov, Niyaz, 2019. "Risk premia in the German day-ahead electricity market revisited: The impact of negative prices," Energy Economics, Elsevier, vol. 82(C), pages 70-77.

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    Keywords

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    JEL classification:

    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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