On the impact of weather on German hourly power prices

Arbeitspapier

The liberalization of electricity markets has triggered research in econometric modelling and forecasting of electricity spot prices. Moreover, both the demand and the supply of electricity are subject to weather conditions. Therefore, we examine the relation between hourly electricity spot prices from the European Energy Exchange and weather, represented by temperature and wind velocity. Furthermore, we assess whether the relation can be successfully exploited for forecasting. Thereby, we proceed in the framework of Markov regime-switching models which have become a workhorse in econometric modelling of electricity spot prices. As a result, we detect a strong relationship, on one hand. On the other hand, the significance of this relation for forecasting is confined to certain hours.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Papers in Statistics and Econometrics ; No. 1/06

Classification and Topics

• Classification: Wirtschaft ; Energy: General ; Electric Utilities ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: Electricity spot prices ; Weather ; Markov regime-switching

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kosater, Peter
• Event: Veröffentlichung
• (who): University of Cologne, Seminar of Economic and Social Statistics
• (where): Cologne
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/26737
• Last update: 10.03.2025, 11:42 AM CET