Market-specific news and its impact on forward premia on electricity markets

- I study the effect of market-specific information on the price difference between the day-ahead and the intra-day Scandinavian electricity market.
- By exploring market information dataset, I show that contemporaneous information has an important impact on premia.
- I investigate news categories and indicate specifically that failures shape the premia.

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 coal-powered units are most frequent and have the greatest effect on the differences between the day-ahead and intra-day prices.