WHAT HAPPENS WHEN IT'S WINDY IN DENMARK?

1. WHAT HAPPENS WHEN IT'S WINDY IN DENMARK? AN EMPIRICAL ANALYSIS OF WIND POWER ONPRICE VARIABILITY IN THE NORDIC ELECTRICITY MARKET Johannes Mauritzen Norwegian School of Economics (NHH)Bergen , Norway johannes.mauritzen@nhh.no IAEE Conference, Stockholm June 20th, 2011 Working paper available at: http://www.nhh.no/en/research---faculty/department-of-finance-and-management-science/discussion-papers.aspx

2. Wind Power Capacity in Denmark Johannes Mauritzen, johannes.mauritzen@nhh.no

3. Litterature • Bach 2009, Renewable Energy Foundation Publication • Econ Pøyry Group 2009, Elforsk Rapport, 09(102) • Holttinen 2004, VTT Publication • Enevoldsen, IBT Wind • Hadsel et all 2004, The Energy Journal Fornavn Etternavn, navn@nhh.no

4. Area Price: Denmark East: Average by hour Fornavn Etternavn, navn@nhh.no

5. Effect on Daily Price Volatility Fornavn Etternavn, navn@nhh.no

6. Notes on Methodology • Dynamic single-equation distributed lag model – ARMA(P,Q) • with exogenous variable • (Is Wind Exogenous?) Fornavn Etternavn, navn@nhh.no

7. Notes on Methodology • Dynamic single-equation distributed lag model – ARMA(P,Q) • with exogenous variable • (Is Wind Exogenous?) • Non-parametrically defined variability • Why not ARCH/GARCH? Fornavn Etternavn, navn@nhh.no

8. Log Intraday Variability of Prices Fornavn Etternavn, navn@nhh.no

9. Intraday System Price Variation and Wind Fornavn Etternavn, navn@nhh.no

10. Intraday Area Price Variation and Wind Fornavn Etternavn, navn@nhh.no

11. Intraweekly Price Variation and Wind Fornavn Etternavn, navn@nhh.no