Market–Specific News and Its Impact on Forward Premia on Electricity Markets

This paper studies the impact of market-specific news on the short-term forward premia on the Nordic electricity market. I show that the short-term premia between the day-ahead and intra-day electricity prices on the Nordic market can be partly explained by the arrival of news specific to the power market. By exploring the types of news, I show that production failures are most important in shaping premia. Production disruptions in coalpowered units are most frequent and have the greatest effect on the differences between the day-ahead and intra-day prices.