Advanced Search
MyIDEAS: Login to save this article or follow this journal

Risk Premia in Electricity Forward Prices

Contents:

Author Info

  • Diko Pavel

    ()
    (Electrabel S.A.)

  • Lawford Steve

    ()
    (Electrabel S.A.)

  • Limpens Valerie

    ()
    (Electrabel S.A.)

Abstract

We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the implied forward price behaviour. We then assess the term-structure and time-evolution of the risk premia for each of the markets.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.degruyter.com/view/j/snde.2006.10.3/snde.2006.10.3.1358/snde.2006.10.3.1358.xml?format=INT
Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 10 (2006)
Issue (Month): 3 (September)
Pages: 1-24

as in new window
Handle: RePEc:bpj:sndecm:v:10:y:2006:i:3:n:7

Contact details of provider:
Web page: http://www.degruyter.com

Order Information:
Web: http://www.degruyter.com/view/j/snde

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Botterud, Audun & Kristiansen, Tarjei & Ilic, Marija D., 2010. "The relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, Elsevier, vol. 32(5), pages 967-978, September.
  2. Daskalakis, George & Markellos, Raphael N., 2009. "Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext," Energy Policy, Elsevier, Elsevier, vol. 37(7), pages 2594-2604, July.
  3. Chamorro Gómez, José Manuel & Abadie, Luis M., 2006. "Monte Carlo Valuation of natural gas investments," IKERLANAK, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I 2006-25, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
  4. Pietz, Matthäus, 2009. "Risk premia in electricity wholesale spot markets: empirical evidence from Germany," CEFS Working Paper Series 2009-11, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
  5. Povh, Martin & Fleten, Stein-Erik, 2009. "Modeling long-term electricity forward prices," MPRA Paper 13162, University Library of Munich, Germany.
  6. Pietz, Matthäus, 2009. "Risk premia in the German electricity futures market," CEFS Working Paper Series 2009-07, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
  7. Marckhoff, Jan & Wimschulte, Jens, 2009. "Locational price spreads and the pricing of contracts for difference: Evidence from the Nordic market," Energy Economics, Elsevier, Elsevier, vol. 31(2), pages 257-268, March.
  8. Robert Flasza & Milan Rippel & Jan Å olc, 2011. "Modelling Long-Term Electricity Contracts at EEX," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2011/08, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2011.
  9. Christian Redl & Derek Bunn, 2013. "Determinants of the premium in forward contracts," Journal of Regulatory Economics, Springer, Springer, vol. 43(1), pages 90-111, January.
  10. Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  11. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, Elsevier, vol. 30(3), pages 1098-1115, May.
  12. María Dolores Furió & Vicente Meneu, 2009. "Expectations and Forward Risk Premium in the Spanish Power Market," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2009-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:10:y:2006:i:3:n:7. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.