Market Risks and Strategies in Power Systems Integrating Renewable Energy
Marktrisico's en -strategieen bij het Integreren van Hernieuwbare Energie in Elektriciteitssystemen
Energy businesses are going through a series of swift and radical transformations to meet the growing demands for sustainable energy. The integration of wind and solar introduces more low marginal costs suppliers to power markets, as no fuels are needed to produce electricity. Most power produced by renewable energy sources is however variable and difficult to predict by nature, putting current power system operations under pressure and causing prices to fluctuate heavily. Increased competition, new production technologies and volatile prices completely changed operations in today’s power markets.
In this dissertation, we assess the integration of intermittent renewable energy sources in relation to agents' risk preferences and decision strategies in short-term sequential power markets via a multi-method approach. First, we analytically identify a technology-varying forward risk premium in relation to hedging needs of heterogeneous producers and retailers. Second, we empirically validate a multi-factor propositional framework, incorporating various renewable technologies, and provide evidence for market non-neutralities between these technologies. Third, we indicate a convenience yield for flexibility in a developed experimental trading environment and empirically evaluate strategies of intermittent and non-intermittent producers in forward and spot markets.
With the ongoing decarbonization, power markets should provide adequate price signals for assets and investments to ensure an efficient and sustainable energy transition. The work paves the way for policymakers to investigate the implications of intermittent renewable energy sources on existing market structures and their participants' strategic space. It further devises key ingredients for well-functioning sustainable power markets, its design and governing policies.
|Keywords||energy economics, renewable energy, sustainability, power markets, forward and spot trading, sequential markets, energy informatics, risk premium, flexibility, electricity, short-term trading|
|Promotor||W. Ketter (Wolfgang) , R. Huisman (Ronald)|
|Publisher||Erasmus University Rotterdam|
|Series||ERIM Ph.D. Series Research in Management|
|Organisation||Department of Technology and Operations Management|
Koolen, D. (2019, March 22). Market Risks and Strategies in Power Systems Integrating Renewable Energy (No. EPS-2019-467-LIS). ERIM Ph.D. Series Research in Management. Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/115655