On the Efficiency of the EPEX Day-Ahead Spot Market

21 Pages Posted: 23 Dec 2011

See all articles by David Wozabal

David Wozabal

Technische Universität München (TUM) - TUM School of Management

Christoph Graf

Stanford University - Department of Economics

Date Written: December 22, 2011

Abstract

In this paper we investigate the efficiency of the day-ahead market for electricity at the EPEX, the largest central European market for electricity. To analyze whether generating companies use their market power to influence prices, we used a conjectural variations approach for the years 2007-2010 on a yearly basis as well as a direct approach for estimating marginal costs for the year 2010. The results of both approaches show no indication for systematic abuse of market power by the suppliers of electricity on the EPEX day-ahead spot market for the analyzed period of time. Conducting the same analysis for high load hours, which are generally considered to be the most prone to market manipulation, yielded similar results suggesting that the results are robust. For our analysis, we considered hourly price and demand data and consequently obtained a high level of statistical significance in our models.

Keywords: 2SLS, Conjectural variations, German/Austrian electricity market, Market power

JEL Classification: C01, L10, L94

Suggested Citation

Wozabal, David and Graf, Christoph, On the Efficiency of the EPEX Day-Ahead Spot Market (December 22, 2011). Available at SSRN: https://ssrn.com/abstract=1973554 or http://dx.doi.org/10.2139/ssrn.1973554

David Wozabal (Contact Author)

Technische Universität München (TUM) - TUM School of Management ( email )

München
Germany

Christoph Graf

Stanford University - Department of Economics ( email )

Landau Economics Building
579 Serra Mall
STANFORD, CA 94305-6072
United States

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