IAEE Members and subscribers to The Energy Journal: Please log in to access the full text article or receive discounted pricing for this article.

Prepress Content: The following article is a preprint of a scientific paper that has completed the peer-review process and been accepted for publication within The Energy Journal.

While the International Association for Energy Economics (IAEE) makes every effort to ensure the veracity of the material and the accuracy of the data therein, IAEE is not responsible for the citing of this content until the article is actually printed in a final version of The Energy Journal. For example, preprinted articles are often moved from issue to issue affecting page numbers, and actual volume and issue numbers. Care should be given when citing Energy Journal preprint articles.

How are Day-ahead Prices Informative for Predicting the Next Day's Consumption of Natural Gas? Evidence from France

Abstract:
The purpose of this paper is to investigate, for the first time, whether the next day’s consumption of natural gas can be accurately forecast using a simple model that solely incorporates the information contained in day-ahead market data. Hence, unlike standard models that use a number of meteorological variables, we only consider two predictors: the price of natural gas and the spark ratio measuring the relative price of electricity to gas. We develop a suitable modeling approach that captures the essential features of daily gas consumption and, in particular, the nonlinearities resulting from power dispatching and apply it to the case of France. Our results document the existence of a long-run relation between demand and spot prices and provide estimates of the marginal impacts that these price variables have on observed demand levels. We also provide evidence of the pivotal role of the spark ratio in the short run which is found to have an asymmetric and highly nonlinear impact on demand variations. Lastly, we show that our simple model is sufficient to generate predictions that are considerably more accurate than the forecasts published by infrastructure operators.

Download Executive Summary Purchase ( $25 )

Keywords: Natural gas markets, Day-ahead prices, Load forecasting

DOI: 10.5547/01956574.43.5.atho

References: Reference information is available for this article. Join IAEE, log in, or purchase the article to view reference data.

Published in Volume 43, Number 5 of the bi-monthly journal of the IAEE's Energy Economics Education Foundation.

 

© 2021 International Association for Energy Economics | Privacy Policy | Return Policy