Universität zu Köln

Elberg, Christina and Hagspiel, Simeon (2015). Spatial dependencies of wind power and interrelations with spot price dynamics. Eur. J. Oper. Res., 241 (1). S. 260 - 273. AMSTERDAM: ELSEVIER. ISSN 1872-6860

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Abstract

Wind power has seen strong growth over the last decade and increasingly affects electricity spot prices. In particular, prices are more volatile due to the stochastic nature of wind, such that more generation of wind energy yields lower prices. Therefore, it is important to assess the value of wind power at different locations not only for an investor but for the electricity system as a whole. In this paper, we develop a stochastic simulation model that captures the full spatial dependence structure of wind power by using copulas, incorporated into a supply and demand based model for the electricity spot price. This model is calibrated with German data. We find that the specific location of a turbine - i.e., its spatial dependence with respect to the aggregated wind power in the system - is of high relevance for its value. Many of the locations analyzed show an upper tail dependence that adversely impacts the market value. Therefore, a model that assumes a linear dependence structure would systematically overestimate the market value of wind power in many cases. This effect becomes more important for increasing levels of wind power penetration and may render the large-scale integration into markets more difficult. (C) 2014 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Elberg, Christina UNSPECIFIED UNSPECIFIED UNSPECIFIED Hagspiel, Simeon UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-407511
DOI:	10.1016/j.ejor.2014.08.026
Journal or Publication Title:	Eur. J. Oper. Res.
Volume:	241
Number:	1
Page Range:	S. 260 - 273
Date:	2015
Publisher:	ELSEVIER
Place of Publication:	AMSTERDAM
ISSN:	1872-6860
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language ELECTRICITY; GENERATION; COPULAS; VALUATION; VARIANCE; PLANTS Multiple languages Management; Operations Research & Management Science Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/40751