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ID: 169758

Impact of renewable energy forecast errors on imbalance volumes and electricity spot prices / Goodarzi, Shadi

Goodarzi, Shadi	Journal Article
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Summary/Abstract

This paper contributes to the general consideration of whether a policy of incentivising system operators to improve the quality and market availability of forecasts for renewable energy outputs would be beneficial. Using data from the German electricity market, we investigate the effect of wind and solar energy forecasts errors on imbalance volumes and subsequent spot electricity prices. We use ordinary least squares regression, quantile regression and autoregressive moving averages to identify these relationships using variables that have a quarter-hourly data granularity. The results show that higher wind and solar forecast errors increase the absolute values of imbalance volumes and that these can pass through into higher spot prices. We find that wind forecast errors in Germany impact spot prices more than solar forecasting errors. Policy incentives to improve the accuracy and availability of renewable energy forecasts by the system operators should therefore be encouraged.

Key Words

Renewable Energy ; Electricity Spot Prices ; Forecast errors ; Electricity Imbalance

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ID: 133297

Testing the rationality of DOE's energy price forecasts under a / Mamatzakis, E; Koutsomanoli-Filippaki, A

Mamatzakis, E	Journal Article
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2014.

Summary/Abstract

This paper examines the rationality of the price forecasts for energy commodities of the United States Department of Energy's (DOE), departing from the common assumption in the literature that DOE's forecasts are based on a symmetric underlying loss function with respect to positive vs. negative forecast errors. Instead, we opt for the methodology of Elliott et al. (2005) that allows testing the joint hypothesis of an asymmetric loss function and rationality and reveals the underlying preferences of the forecaster. Results indicate the existence of asymmetries in the shape of the loss function for most energy categories with preferences leaning towards optimism. Moreover, we also examine whether there is a structural break in those preferences over the examined period, 1997-2012.

Key Words

Economic Forecasting ; Preferences ; Energy Prices ; Forecast errors ; Loss function ; Department of Energy- US

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