Econ Papers Daily / 期刊论文
从高到低：极端情况下的价格形成与投标定价
High to low: Price formation and bid placement at the extremes
摘要
At high penetration levels, variable renewable energy (VRE) reshapes price formation in wholesale electricity markets by increasing both oversupply and scarcity. While the fundamental mechanisms underlying extreme prices are well documented, the role of bidding behavior in amplifying price spikes under scarcity remains underexplored. This paper develops an empirical framework to characterize how aggregate bidding patterns respond to system scarcity, as proxied by residual load, and embeds the resulting behavioral rules in an agent-based market simulation to assess their implications under a future energy-transition scenario. The framework is applied to the Belgian, Dutch, and German day-ahead markets, testing it across systems with different VRE penetration levels. The results show that aggregate supply curves become significantly steeper with residual load, while bidding volumes shift toward upper price segments. In the 2035 simulation, scarcity-induced strategic bidding increases the annual average price in Germany by 15.49% (7.38 EUR/MWh) relative to marginal-cost bidding, while the peak price rises from 153 to 561 EUR/MWh (+268%), with effects concentrated in a small share of scarcity hours. These results suggest that extreme price formation cannot be understood from fundamental supply conditions alone. As VRE penetration increases and the dispatchable margin becomes more constrained, scarcity-related bidding behavior can substantially amplify price extremes. Navigating these risks requires market monitoring that distinguishes efficient scarcity rents from strategic conduct, alongside careful policy design to manage the underlying structural exposure to scarcity—primarily sufficient cross-border interconnection and dispatchable capacity—without dampening the price signals needed for long-term adequacy.
中文摘要
在高渗透率水平下，可变可再生能源（VRE）通过同时加剧过剩与稀缺，重塑了批发电力市场的价格形成。尽管极端价格背后的基本机制已有充分文献记载，但投标行为在稀缺条件下放大价格尖峰的作用仍未被充分探讨。本文构建了一个实证框架，用以刻画总体投标模式如何响应以剩余负荷为代理变量的系统稀缺性，并将由此得到的行为规则嵌入基于主体的市场模拟中，以评估其在未来能源转型情景下的影响。该框架被应用于比利时、荷兰和德国日前市场，并在具有不同VRE渗透率的系统中进行检验。结果表明，总体供给曲线随剩余负荷显著变陡，同时投标量向高价段转移。在2035年模拟中，相对于边际成本投标，稀缺诱发的策略性投标使德国年度平均价格提高15.49%（7.38欧元/兆瓦时），而峰值价格从153欧元/兆瓦时升至561欧元/兆瓦时（+268%），其影响集中在少数稀缺时段。这些结果表明，极端价格形成不能仅从基本供给条件来理解。随着VRE渗透率提高且可调度裕度变得更加受限，与稀缺相关的投标行为可能大幅放大价格极端值。应对这些风险需要市场监测，以区分有效率的稀缺租金与策略性行为，同时需要审慎的政策设计来管理对稀缺性的 underlying 结构性暴露——主要是充足的跨境互联和可调度容量——而不抑制长期充裕性所需的价格信号。