Pricing forward contracts in power markets with variable renewable energy sources

RENEWABLE ENERGY

卷:180

Article

Huisman, Ronald^1,2  Koolen, Derck^3,4  Stet, Cristian¹ 

[1] Erasmus Univ, Erasmus Sch Econ, Rotterdam, Netherlands

[2] Natl Univ Kyiv Mohyla Acad, Kyiv Mohyla Business Sch, Kiev, Ukraine

[3] European Commiss, Joint Res Ctr, Directorate Energy Transport & Climate, The Hague, Netherlands

[4] Erasmus Univ, Rotterdam Sch Management, Rotterdam, Netherlands

关键词: Power markets;    Forward premium;    Variable production;    Variable renewable energy;   

DOI  :  10.1016/j.renene.2021.08.086

来源: Elsevier

【 摘 要 】

With the ongoing increase of variable renewable energy sources (VRES), such as wind or solar power, weather dependent production profiles induce uncertainty on the supply side and change operations at large in wholesale power markets. In this paper, we study how an increasing market share of VRES affects spot power price dynamics and the forward price premium. Using data from simulated power markets, we analyse the forward premium in three identical power markets with a varying market share of VRES supplied to the system. We demonstrate that markets with a high share of supply from VRES yield a significantly lower forward premium than markets with a low market share of wind or solar supply. Our results further confirm that, regardless of the market share of supply from VRES, forward power prices contain information about future spot power prices. These insights generate important implications for producers, retailers and other market participants exposed to wholesale price risk. (c) 2021 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).

【 授权许可】

Free