Abstract
This paper provides estimates for the price elasticity of demand in the European Power Exchange (EPEX) day-ahead market for electricity. An institutional change in the year 2010 allows us to use wind speed as an instrumental variable for hourly spot market prices in order to deal with potential endogeneity problems. The average price elasticity of demand covering the years 2010–2014 is about −0.43 and our results point to a decline in its absolute value over time.
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