Extreme Prices and Market Attention: A Study of the German Electricity Spot Market
| Authors | |
|---|---|
| Year of publication | 2024 |
| Type | Appeared in Conference without Proceedings |
| MU Faculty or unit | |
| Citation | |
| Description | In recent years, factors such as the war in Ukraine and the COVID-19 pandemic have led to increased volatility and exceptionally high prices in electricity markets. While existing literature outlines potential determinants of electricity prices, the role of market attention remains underexplored. This research aims to address this gap by examining the significance of attention in the German electricity spot market from 2018 to 2022. We constructed attention measure based on Google search volume and the absolute number of Tweets related to electricity. Our analysis decomposed these attention variables, focusing on both expected and unexpected market attention, with special emphasis on their effects in the tails. Findings indicate a notable influence of market attention on electricity prices, particularly during instances of extreme pricing. |
| Related projects: |