Matthias Huber. (Forschungsstelle für Energiewirtschaft e.v.) Am Blütenanger München

Transcription

1 Modeling Spot Market Pricing with the Residual Load 5 th Conference on Energy Economics and Technology Dresden, April 16 th, 2010 Serafin von Roon Matthias Huber 11 Research Center for Energy Economy (Forschungsstelle für Energiewirtschaft e.v.) Am Blütenanger München SRoon@ffe.de

2 Agenda Motivation Spot Market Pricing Theory Modeling the Residual Load Statistical Analysis and Interpretation Future Development of Spot Market Prices Conclusions 2

3 Motivation the determining i variable in investme ent tdecisions i is the expected revenue the revenue is determined by the electricity prices and the fuel costs the spot market prices are the refer rence prices the spot market prices show a high variability Question: How can the EEX prices be modeled easily? Question: What is the impact on the spot market prices due to the increasing feed-in of renewable energy sources (RES)? 3

4 Spot Market Pi Pricingi Theory 4

5 Determining Factors fuel prices (incl. em mission allowa ances) power plant fleet (supply) spot mar rket price load (demand) oth hers (specu ulation, blacko outs, ) 5

6 Determining Factors: Load fuel prices (incl. em mission allowa ances) power plant fleet (supply) spot mar rket price load (demand) 6

7 Feed-In of Must Run Power Plants Renewables and partly CHP are must run power plants Must runs offer with the price /MWh in the spot market Must runs shift the supply side to the right Shifts the Supply Curve Pric ce in /MW Wh p p' Bid Offer FfE _537 Electricity in MWh/h 7

8 Residual Load subtracting must runs from the demand has the same price effect residual Load = Consumer Load Must-Run residual load determines the price Bid Offer Pric ce in /MW Wh p p' FfE _538 Electricity in MWh/h 8

9 Determining Factors: Power Plant Fleet fuel prices (incl. em mission allowa ances) power plant fleet (supply) spot mar rket price load (demand) 9

10 Merit Order of the Conventional Po wer Plant Fleet Conventional power plant fleet assumed to be constant in the short term Nuclear Power Lignite Hard Coal Gas and Steam Turbine, Gas Turbine, Fuel Oil Price in /MWh FfE _ Load in GW 10

11 Determining Factors: Fuel Prices fuel prices (incl. em mission allowa ances) power plant fleet (supply) spot mar rket price load (demand) 11

12 Significance of the Coal and Gas Price 8 7 Gas Coal Price in /G GJ Baseload Price EEX Baseload Pric ce in /MWh Nuclear Power Lignite Hard Coal Gas and Steam Turbine, Gas Turbine, Fuel Oil gas and coal prices determine marginal costs of the power plant fleet Pric ce in /MWh future development is highly uncertain ratio of electricity- and fuel prices determine the profitability of power plants 12 FfE _ Load in GW l ti li i th t k t solution: normalizing the spot market price by the gas price

13 Statistical Analysis residual load data sources ( ) load: ENTSO-E wind power: Net Operator values CHP: FfE Modeling Tool PV: Vattenfall Transmission 2008 other RES: Not considered 13

14 Spot Market Prices as a Function of the Residual Load (2008) Market Price Normaliz zed Spot y = 0,0825x - 1,941 R 2 = 0, (hourly values) FfE _ Residual Load [GW] 14

15 Statistical Analysis of the Years No rmalized Spo ot Market Pric ce y = 0,0843x - 2,494 R 2 = 0, Normalized Spo ot Market Price y = 0,0801x - 1,1582 R 2 = , FfE _ Residual Load [GW] 80 0 FfE _ Residual Load [GW] Normalized Spot Market Price y = 0,0825x - 1,941 R 2 = 0, FfE _ Residual Load [GW]

16 Comparison of the Coefficient of De etermination R² Load Consumer Load Wind CHP Summer Winter Consumer Load Wind Summer Winter Wind Summer Winter ,57 0,71 0,65 0,73 0,75 0,70 0,51 0,79 0,63 0,58 0,77 0,54 0,73 0,75 0,69 0,55 0,80 0,56 0,04 0,00 0,01 0,00 0,00 0,00 0,09 0,04 0,04 16

17 Comparison of Modeled and Real Spot Market Prices: Duration Curve Norm malized Spot Mar rket Price EEX 2008 real EEX 2008 sim FfE _ Hours of the Year [h] 17

18 Comparison of Modeled and Real Spot Market Prices: Winter Week vs. Summer Week t Market Price Nor rmalized Spo EEX sim EEX real Spot Market Price 0 FfE _ Calendar Date [h] 4 EEX sim EEX real Normalized 1 0 FfE _ Calendar Date [h]

19 Future Development: Load Curves residual load 2020 data sources: Load: ENTSO-E 2008 Wind Power: FfE Modeling Tool PV: FfE Modeling Tool Other RES: not considered conventional power plant fleet: chan nge not considered fuel prices: sensitivity analysis 19

20 The Impact of Feed-In of RES on th he Residual Load Duration Curve 20

21 The Impact of Feed-In of RES on Pricing 21

22 The Impact of Feed-In of RES and Fuel Costs on Pricing 22

23 Conclusions future electricity prices are determined by: the power plant fleet, the fuel prices and the residual load observable correlation between the residual load and the electricity price the slope of the linear trends for the years 2007 to 2009 is about 08; 0.8; therefore, the short term price effect of the feed-in of RES is 2.33 ( /MWh)/GWh (2008) for a price correlation analysis it is sufficient to model the residual load by consumption load minus the feed-in of wind and PV the exclusive analysis of the change of the residual load from 2008 to 2020 shows a broader distribution of pric es and a decrease of medial price from 65 /MWh to 50 /MWh 23

24 Thank you for your attention! Dipl. Wi.-Ing. Serafin von Roon 24 Research Center for Energy Economy (Forschungsstelle für Energiwirtschaft e.v.) Am Blütenanger München