  In this paper we study the impact of errors in wind and solar power forecasts
on intraday electricity prices. We develop a novel econometric model which is
based on day-ahead wholesale auction curves data and errors in wind and solar
power forecasts. The model shifts day-ahead supply curves to calculate intraday
prices. We apply our model to the German EPEX SPOT SE data. Our model
outperforms both linear and non-linear benchmarks. Our study allows us to
conclude that errors in renewable energy forecasts exert a non-linear impact on
intraday prices. We demonstrate that additional wind and solar power capacities
induce non-linear changes in the intraday price volatility. Finally, we comment
on economical and policy implications of our findings.
