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Renewable Power and Electricity Prices: The Impact of Forward Markets 可再生能源和电价：远期市场的影响
Heikki Peura, Derek W. Bunn Heikki Peura， Derek W. Bunn
To cite this article: 引用本文：
Heikki Peura, Derek W. Bunn (2021) Renewable Power and Electricity Prices: The Impact of Forward Markets. Management Science Heikki Peura， Derek W. Bunn （2021） 可再生能源和电价：远期市场的影响。管理科学
Published online in Articles in Advance 09 Feb 2021 在线发布于 Articles in Advance 09 Feb 2021
. https:// doi. org/ 10.1287/ mnsc. 2020. 3710 .https:// doi.org/ 10.1287/ mnsc.2020. 3710
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Renewable Power and Electricity Prices: The Impact of Forward Markets 可再生能源和电价：远期市场的影响
Increasing variable renewable power generation (e.g., wind) is expected to reduce wholesale electricity prices by virtue of its low marginal production cost. This meritorder effect of renewables displacing incumbent conventional (e.g., gas) generation forms the theoretical underpinning for investment decisions and policy in the power industry. This paper uses a game-theoretic market model to investigate how intermittently available wind generation affects electricity prices in the presence of forward markets, which are widely used by power companies to hedge against revenue variability ahead of near-realtime spot trading. We find that in addition to the established merit-order effect, renewable generation affects power prices through forward-market hedging. This forward effect reinforces the merit-order effect in reducing prices for moderate amounts of wind generation capacity but mitigates or even reverses it for higher capacities. For moderate wind capacity, uncertainty over its output increases hedging, and these higher forward sales lead to lower prices. For higher capacities, however, wind variability conversely causes power producers to behave less aggressively in forward trading for fear of unfavorable spotmarket positions. The lower sales counteract the merit-order effect, and prices may then paradoxically increase with wind capacity despite its lower production cost. We confirm the potential for such reversals in a numerical study, suggesting new empirical questions while providing potential explanations for previously contradictory observed effects of market fundamentals. We conclude that considering the conventional merit-order effect alone is insufficient for evaluating the price impacts of variable renewable generation in the presence of forward markets. 由于其边际生产成本低，预计增加可变可再生能源发电（例如风能）将降低批发电价。可再生能源取代现有传统（例如天然气）发电的这种功绩效应构成了电力行业投资决策和政策的理论基础。本文使用博弈论市场模型来研究在存在远期市场的情况下，可用的风力发电如何影响电价，电力公司广泛使用远期市场来对冲近乎实时现货交易之前的收入变化。我们发现，除了既定的功绩顺序效应外，可再生能源发电还通过远期市场对冲影响电价。这种前向效应加强了降低中等风力发电容量价格的功绩顺序效应，但对于更高的风力发电容量，则减轻甚至逆转了这种效应。对于中等风电装机容量，其输出的不确定性增加了对冲，而这些更高的远期销售会导致更低的价格。然而，对于更高的容量，风能变化反过来会导致发电商在远期交易中表现得不那么激进，因为担心现货市场处于不利的位置。较低的销售抵消了功绩订单效应，尽管风电的生产成本较低，但价格可能会随着风电容量的增加而自相矛盾地上涨。我们在一项数值研究中证实了这种逆转的可能性，提出了新的实证问题，同时为以前观察到的市场基本面的相互矛盾的影响提供了可能的解释。我们得出的结论是，在存在远期市场的情况下，仅考虑传统的价值顺序效应不足以评估可变可再生能源发电的价格影响。
The use of renewable energy sources is growing as different countries seek to reduce their dependence on fossil fuels. The European Union aims to source at least 32%32 \% of its energy from renewables by 2030, China is planning for renewables to account for 35%35 \% of its power consumption by 2030, and more than 30 U.S. states have set comparable policies. ^(1){ }^{1} The most profound impact of these policies has been on the electricity industry, where wind and solar power are displacing incumbent conventional coal- and gasfired combustion turbines. In Germany, for example, wind and solar now account for more than 20%20 \% of the power market, with a target of 50%50 \% renewable electricity by 2030. 随着不同国家寻求减少对化石燃料的依赖，可再生能源的使用正在增长。欧盟的目标是到 2030 年至少 32%32 \% 从可再生能源中获得能源，中国正计划到 2030 年将可再生能源纳入 35%35 \% 其电力消耗，美国 30 多个州已经制定了类似的政策。 ^(1){ }^{1} 这些政策对电力行业的影响最深远，风能和太阳能正在取代现有的传统燃煤和燃气燃气轮机。例如，在德国，风能和太阳能现在占电力市场的份额超过 20%20 \% 了电力市场，其目标是到 2030 年实现 50%50 \% 可再生电力。
Increasing renewable generation is expected to benefit power consumers by reducing wholesale electricity prices. Power generators sell their output in near-real-time spot markets, where renewable (e.g., wind) 预计增加可再生能源发电将通过降低批发电价使电力消费者受益。发电厂在近乎实时的现货市场出售其输出，其中可再生能源（例如风能）
producers’ low short-run production costs allow them to undercut conventional (e.g., gas) producers in the dispatch order of generation offers. The potential benefits from this merit-order effect are particularly pronounced in power markets because generation capacity is often concentrated in large conventional generators (e.g., Borenstein et al. 2002). Smaller renewable producers should limit incumbents’ pricesetting power, emphasizing their effect in reducing prices. The merit-order effect thus has been the conventional, widely used analytical focus to model market price movements, changes in power-plant utilizations, and asset revaluations associated with the transition to renewable power (Woo et al. 2011, Baldick 2012). 生产商的低短期生产成本使他们能够在发电报价的调度顺序中低于传统（例如天然气）生产商。这种功绩顺序效应的潜在好处在电力市场中尤为明显，因为发电能力通常集中在大型传统发电机中（例如，Borenstein 等人，2002 年）。较小的可再生能源生产商应限制现有企业的价格制定权，强调它们在降低价格方面的作用。因此，价值顺序效应一直是传统的、广泛使用的分析重点，用于模拟市场价格变动、发电厂利用率的变化以及与向可再生能源过渡相关的资产重估（Woo 等人，2011 年，Baldick 2012 年）。
This purely cost-based view of renewables’ price impacts, however, overlooks their other implication for electricity trading, namely higher variability. Because of relatively inelastic demand and a lack of economic 然而，这种纯粹基于成本的可再生能源价格影响观点忽视了它们对电力交易的其他影响，即更高的可变性。由于需求相对缺乏弹性和缺乏经济效益
storage options, spot electricity prices are already highly volatile, and renewable sources further add to this variability. Unlike consistently available gas turbines, wind power has an average capacity availability of 30%30 \% with daily standard deviations of up to 25%25 \% (e.g., Sinden 2007), causing the volatility of spot power prices to further increase with renewable penetration (e.g., Ketterer 2014). 存储选项、现货电价已经高度波动，而可再生能源进一步加剧了这种变化。与持续可用的燃气轮机不同，风电的平均可用 30%30 \% 容量高达 25%25 \% 每日标准差（例如，Sinden 2007），导致现货电价的波动性随着可再生能源的普及而进一步增加（例如，Ketterer 2014）。
It may be thought that irregular wind production would simply result in a more volatile merit-order effect, reducing spot prices according to output. However, whereas price debates have focused on this spotmarket competition, most electricity is traded via financial forward contracts ahead of spot. Power producers and retailers use forward contracts to hedge against spot-revenue volatility, with risk exposures significant enough for companies to regularly report their trading to investors. ^(2){ }^{2} In the United Kingdom, for example, more than 90%90 \% of electricity is traded as forward contracts specifying a quantity to be delivered in subsequent spot markets (Ofgem 2009). Moreover, the pricing of forward contracts differs from spotmarket cost competition. In addition to the underlying generation costs, forward electricity prices are determined by the market participants’ hedging of risk exposures (Bessembinder and Lemmon 2002), reflected in sustained forward premia, that is, differences in forward and spot prices for the same delivery period (Longstaff and Wang 2004, Redl and Bunn 2013, Weron and Zator 2014). Increasing variable wind generation is changing not only cost competition but also forward risk exposures, causing companies to adjust their trading between forward and spot markets and hence altering the relationship between the prices. In Germany, for example, there is evidence that trading has shifted from forward contracting toward real time (Aïd et al. 2016), whereas the merit-order effect has slowed (Ketterer 2014). 人们可能会认为，不规则的风电生产只会导致更不稳定的功绩顺序效应，根据产量降低现货价格。然而，尽管价格争论集中在这种现货市场竞争上，但大多数电力都是通过现货之前的金融远期合约进行交易的。电力生产商和零售商使用远期合约来对冲现货收入的波动，其风险敞口足够大，以至于公司可以定期向投资者报告其交易情况。 ^(2){ }^{2} 例如，在英国，超过 90%90 \% 的电力作为远期合约进行交易，指定了在后续现货市场交付的数量（Ofgem 2009）。此外，远期合约的定价与现货市场成本竞争不同。除了潜在的发电成本外，远期电价还取决于市场参与者对风险敞口的对冲（Bessembinder 和 Lemmon 2002），反映在持续的远期溢价中，即同一交割期的远期和现货价格的差异（Longstaff 和 Wang 2004 年，Redl 和 Bunn 2013 年，Weron 和 Zator 2014 年）。增加可变风力发电不仅改变了成本竞争，还改变了远期风险敞口，导致公司调整了远期和现货市场之间的交易，从而改变了价格之间的关系。例如，在德国，有证据表明交易已经从正向收缩转向实时（Aïd 等人，2016 年），而价值顺序效应已经放缓（Ketterer 2014 年）。
In this paper, we revisit the merit-order effect of renewable power on electricity prices, accounting for its variable output and the prevalence of forward contracting in power markets. How will renewable generation, specifically wind power, change trading strategies and prices as it is projected to rapidly increase in the medium term? In particular, we seek to understand the impact of renewables in the presence of forward markets, which—besides pivotal to power companies’ risk management-have been central to policy debate in the industry. Regulators have long encouraged forward trading as a means to curtail market power and reduce prices (e.g., Borenstein 2001) and, more recently, have promoted virtual bidding (Jha and Wolak 2013) to introduce efficient forward-market arbitrage, removing price premia between forward and spot markets. How do forward 在本文中，我们重新审视了可再生能源对电价的功绩顺序效应，解释了其可变输出和电力市场中远期合同的普遍性。可再生能源发电，特别是风能发电，将如何改变交易策略和价格，因为预计可再生能源发电将在中期迅速增长？特别是，我们寻求了解可再生能源在存在远期市场的情况下的影响，这除了对电力公司的风险管理至关重要外，一直是行业政策辩论的核心。长期以来，监管机构一直鼓励远期交易作为削弱市场力量和降低价格的手段（例如，Borenstein 2001），最近，还推广了虚拟投标（Jha 和 Wolak 2013），以引入有效的远期市场套利，消除远期市场和现货市场之间的价格溢价。如何转发
trading and premia arising from hedging influence the price impacts of increasing renewable capacity? 对冲产生的交易和溢价影响增加可再生能源装机容量对价格的影响？
We investigate the merit-order effect using a gametheoretic market model that captures the essential factors to manifest the effects of renewable power, but with sufficient stylization to permit analytical results. We study power producers and retailers trading in sequential forward and spot markets: Conventional producers represent an incumbent reliable (gas) technology, whereas new entrant (wind) producers have lower production costs but variable available capacity. In the forward market, power demand and wind supply are uncertain, and the companies are concerned with both the mean and the variance of their profits. They hedge against revenue variability by trading forward contracts, that is, financial commitments to produce/ buy a corresponding amount of power in the spot stage, with the forward price determined by matching the firms’ demands for contracts. In the real-time spot market, conventional producers engage in quantity (Cournot) competition, whereas wind producers sell their realized production competitively. 我们使用博弈论市场模型研究评价顺序效应，该模型捕获了体现可再生能源影响的基本因素，但具有足够的风格化以允许分析结果。我们研究了在连续远期和现货市场进行交易的电力生产商和零售商：传统生产商代表了现有的可靠（天然气）技术，而新进入的（风能）生产商的生产成本较低，但可用容量可变。在远期市场，电力需求和风能供应是不确定的，这些公司既关心利润的平均值，也关心其利润的方差。他们通过交易远期合约来对冲收入变化，即在现货阶段生产/购买相应数量的电力的财务承诺，远期价格通过匹配公司的合同需求来确定。在实时现货市场中，传统生产商参与数量 （Cournot） 竞争，而风电生产商则以竞争方式出售其已实现的产量。
When power is traded in spot markets alone, we confirm that higher wind generation reduces prices through the merit-order effect. But accounting for forward trading, we identify an additional effect of wind power on the spot price. This effect results from our model including both forward-market risk-hedging (Bessembinder and Lemmon 2002) and price-setting power by incumbent producers. More specifically, variable wind output changes spot-revenue risks and hence the volume of forward contracts traded to hedge. For incumbents with market power, however, higher forward sales imply a commitment to generate more power in the spot market (Allaz and Vila 1993). Thus, the more risk hedging occurs, the more power is generated, and hence the lower is the price. Variable wind generation therefore affects the spot price of electricity not only through direct merit-order competition but also indirectly through altering hedging volumes in the forward market. 当仅在现货市场进行电力交易时，我们确认更高的风力发电量会通过功绩顺序效应降低价格。但考虑到远期交易，我们确定了风电对现货价格的额外影响。这种效果源于我们的模型，包括远期市场风险对冲（Bessembinder 和 Lemmon 2002）和现有生产商的价格设定权。更具体地说，可变的风电产量会改变现货收入风险，从而改变用于对冲的远期合约交易量。然而，对于具有市场支配力的现有企业来说，更高的远期销售意味着承诺在现货市场产生更多电力（Allaz 和 Vila 1993）。因此，风险对冲发生得越多，产生的电力就越多，因此价格就越低。因此，可变风力发电不仅通过直接的功绩竞争影响电力现货价格，还通过改变远期市场的对冲量间接影响电力现货价格。
This additional forward effect may either reinforce or mitigate, and even reverse, the conventional meritorder effect depending on the amount of wind capacity on the market. When capacity is moderate, its variable output leads power producers to increase their forward trading to hedge against the associated revenue risk. The higher commitments to produce power then reduce prices more than predicted by the conventional merit-order effect. However, with higher wind penetration, producers conversely reduce their forward commitments for fear of an unfavorable position in the spot market in case of high wind output. The lower commitments to produce power may then cause prices to increase with wind capacity if its output variability is 这种额外的前向效应可能会加强或减轻，甚至逆转传统的功绩效应，具体取决于市场上的风电装机容量。当容量适中时，其可变输出导致电力生产商增加远期交易，以对冲相关的收入风险。更高的发电承诺会降低价格，其降低的价格幅度超过了传统的功绩顺序效应所预测的水平。然而，随着风电渗透率的提高，生产商反而会减少其远期承诺，因为担心在风电产量高的情况下，现货市场处于不利地位。如果风电的输出变化性
