Résumé en anglais

This paper investigates the impacts of intermittent wind power generation in Denmark on the Nordic day-ahead system price and its volatility in the Nord Pool electricity market, by applying an ARMA-GARCH model, accounting for market coupling and the counterbalance effect from hydropower in Norway and Sweden. As a result, we found that wind generation dampens spot prices, consistently with the merit order effect, and also reduces price volatility in the Nordic day-ahead market. The results shed lights on the importance of market coupling and interactions between wind power and hydropower in the Nordic system through cross-border exchanges, which play an essential role in price stabilization. The analysis on intermittency shows that the market signals or the magnitude of price and volatility reductions depend on the initial level of wind generation. Finally, the Danish experience and the Nordic market structure suggest a way out to handle wind intermittency by interplaying with hydropower at the same time relyingon the functioning of an integrated electricity market.