The main drivers of variations in the day-ahead spot price in the Nordic market, and how each driver change intraday.
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- Master of Science 
This thesis studies the drivers of variations in the day–ahead spot price Nordic market and how they change intraday. The study uses variables of power production from wind and photovoltaics (PV), residual load, hydrological balance, and the short run marginal costs (SRMC) of coal and gas with the price of 2 CO included. The data spans from January 2014 to December 2018. A vector autoregressive (VAR) model was used together with a supplementing generalized impulse response function (GIRF). The VAR is resolved as 24 individual matrixes, one for every hour of the day, containing all the variables. Our findings reveal that the impact of renewable energy sources on the day–ahead spot price vary intraday. The main drivers explaining most of the price variations are found to be from the price itself, followed by residual load. We also find that the VAR model achieves the highest explanatory power during the most volatile hours of the day.
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2019