Changing Electricity Markets: Quantifying the Price Effects of Greening the Energy Matrix

Arbeitspapier

We analyse the drivers of European Power Exchange (EPEX) wholesale electricity prices between 2012 and early 2022 using machine learning. The agnostic random forest approach that we use is able to reduce in-sample root mean square errors (RMSEs) by around 50% when compared to a standard linear least square model − indicating that non-linearities and interaction effects are key in wholesale electricity markets. Out-of- sample prediction errors using machine learning are (slightly) lower than even in-sample least square errors using a least square model. The effects of efforts to limit power consumption and green the energy matrix on wholesale electricity prices are first order. CO2 permit prices strongly impact electricity prices, as do the prices of source energy commodities. And carbon permit prices' impact has clearly increased post-2021 (particularly for baseload prices). Among energy sources, natural gas has the largest effect on electricity prices. Importantly, the role of wind energy feed-in has slowly risen over time, and its impact is now roughly on par with that of coal.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 9807

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Quantitative Policy Modeling ; Market Structure, Pricing, and Design: General ; Industry Studies: Primary Products and Construction: General ; Commodity Markets ; Renewable Resources and Conservation: General ; Energy: General
• Thema: carbon permit ; CO2 emissions ; commodities ; electricity market ; energy ; EPEX ; machine learning ; natural gas ; oil ; wind energy

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kohlscheen, Emanuel ; Moessner, Richhild
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2022

Weitere Informationen

• Handle: http://hdl.handle.net/10419/263737
• Letzte Aktualisierung: 12.07.2024, 13:21 MESZ