Asymmetric information in the German intraday electricity market

Abstract

This paper investigates how private and public information about unplanned power plant outages impact intraday electricity prices in Germany. It uses data from the EPEX day-ahead and continuous intraday markets as well as market messages concerning unscheduled power plant non-usabilities from the European Energy Exchange (EEX) transparency platform. The results of an econometric analysis suggest that private and public information about unplanned power plant outages have a significant positive effect on the intraday price. Furthermore, this paper shows that a reduction of the lead time on the intraday market enhances the possibilities of traders reacting to unplanned non-usabilities: an increased impact of private information on the electricity price is observed. The results also confirm an asymmetric impact of private and public information on the intraday price after the lead time reduction on the power exchange. The findings contradict the main objectives of the Regulation on Wholesale Energy Market Integrity and Transparency (REMIT), which stipulates that the possession of private information must not have an impact on electricity prices. • We analyze how private and public information impact intraday electricity prices. • We use messages from the European Energy Exchange (EEX) transparency platform. • The results suggest an asymmetric impact of information about unplanned outages. • The findings contradict the main objectives of REMIT.