出版社：Energiewirtschaftliches Institut an der Universität zu Köln
摘要：Wind power has seen strong growth over the last decade and increasingly a ects electricity spot prices. Generation from wind energy is stochastic, and if there is lot of wind, prices tend to be lower. Therefore, for an investor, but also for the whole electricity system, it is important to assess the value of wind power at di erent locations. In this paper, we develop a stochastic simulation model that captures the full spatial dependence structure of wind power by using copulas, incorpo- rated into a structural supply and demand based model for the electricity spot price. This model is calibrated with German data. We nd that the speci c 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 e ect becomes more important for increasing levels of wind power penetration and may render the large-scale integration into markets more dicult.
