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Electricity Prices and Generation Costs in European Futures Markets with Implications for Spain/Precios de la electricidad y costes de generación en los mercados de futuros europeos: implicaciones para España

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Author Info

  • ABADIE, LUIS MARIA

    ()
    (Basque Centre for Climate Change (BC3), ESPAÑA.)

  • HERES, DAVID R.

    ()
    (Basque Centre for Climate Change (BC3), ESPAÑA.)

Abstract

This paper examines the influence of the cost of natural gas, coal and emission allowances on electricity prices. Quotes from the futures market are used rather than spot quotes, and panel data analysis is applied, with each futures contract being characterised by a given maturity. Data for the UK are used, and the conclusions provide insights for the Spanish case for which fewer quotes are available. The results show that the market prices imply an increasing role of natural gas and emission allowances in determining the price of electricity. Este estudio analiza la influencia de los costes del gas natural, del carbón y de los derechos de emisión en el precio de la electricidad. En vez de usar cotizaciones spot, se utilizan cotizaciones de los mercados de futuros realizando un análisis de datos de panel, en el que cada contrato de futuros está caracterizado por una determinada fecha de expiración. Se utilizan para ello cotizaciones de UK, obteniendose conclusiones de las que se extraen lecciones para el caso Español, donde existen menos cotizaciones disponibles. Los resultados muestran que los precios de mercado asignan un papel creciente al gas natural y a los derechos de emisión en la determinación del precio de la electricidad.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 29 (2011)
Issue (Month): (Agosto)
Pages: 561-574

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Handle: RePEc:lrk:eeaart:29_2_8

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Related research

Keywords: Gas Natural; Plantas Eléctricas; Precio de la Electricidad; Mercados de Futuros ; Natural Gas; Power Plants; Electricity Price; Futures Markets.;

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References

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  1. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  2. Luis M. Abadie & Mikel González-Eguino & José M. Chamorro, 2010. "Optimal Abandonment of Coal-Fired Stations in the EU," Working Papers 2010-07, BC3.
  3. Woo, Chi-Keung & Olson, Arne & Horowitz, Ira & Luk, Stephen, 2006. "Bi-directional causality in California's electricity and natural-gas markets," Energy Policy, Elsevier, vol. 34(15), pages 2060-2070, October.
  4. Roques, Fabien A. & Newbery, David M. & Nuttall, William J., 2008. "Fuel mix diversification incentives in liberalized electricity markets: A Mean-Variance Portfolio theory approach," Energy Economics, Elsevier, vol. 30(4), pages 1831-1849, July.
  5. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
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