Ancillary services are required to balance supply and demand in electric power systems. Demand response may provide attractive options for these services, through means such as varying the power consumption of commercial building HVAC systems. However, experimental results from a 30,000 m(2) office building suggest that when a building provides ancillary services it consumes more energy than when it is operated normally. This translates to additional costs and environmental impacts. This paper investigates potential causes for building inefficiency associated with ancillary services provision. We develop a physics-based simulation model that captures heat exchange processes and fan and air duct dynamics. During an ancillary service event, we vary the fan power consumption, and then compute the difference between the baseline and actual energy consumption to determine the efficiency of the actions. We explore the impact of building parameters, control design, and baseline model accuracy on the efficiency. In simulation, we find that shorter duration power changes and less aggressive controllers result in less change in energy consumption. We also find that baseline error has outsized effects on the efficiency calculations. These results offer new understanding of the mechanisms underlying inefficiency and point to opportunities to reduce associated costs and environmental burdens. (C) 2017 Elsevier B.V. All rights reserved.