Fundamentala faktorers förklaringsgrad och simuleringsmöjligheter gentemot elspotpriset på Nord Pool
Utsläppsrätternas betydelse för elspotpriset under andra handelsperioden
The purpose of this study is to evaluate the relation between certain chosen fundamental factors (emission trading rights, hydrological balance, interaction with continental Europe, fuel prices) and the spot price at Nord Pool. Particular focus has been put on the trade with emission rights since it is only now their actual impact on electricity prices can be studied. The relationships are measured with regression analysis which includes both R2 and the simulation possibilities of ARX models. The studied period covers 2008 and 2009 with partly daily data and partly weekly data. Owing to the expected higher importance of the fundamentals during the winter months the winter 2008/2009 has been studied separately. The results indicate that there are statistically significant relations between all of the fundamental factors and the spot price save the interaction with continental Europe where Export/Import with Germany which did not yield a significant outcome. The combined R2 for all fundamental factors was 64 % during the whole period and 83 % during the winter months. In general, the R2 was higher during the winter months. The emission trading rights yielded the highest R2 during the whole period and the ARX simulation indicate that this factor also has the highest relevance when simulating the spot price during the winter months. However, cross correlation was observed between the price of emission trading rights and the price of natural gas which indicate that these factors contain similar information. Nevertheless, the conclusion that can be drawn is still that the fundamental factors studied are of importance when estimating electricity prices and that the emission trading rights should be taken into account in particular.