Estimating functional efficiency in energy futures markets
AbstractThis paper proposes a method to estimate the functional efficiency of energy futures markets in terms of social welfare. Using a standard futures markets structural model, it can be concluded that the error committed when using futures prices at moment t to predict spot prices at t+1 results in welfare losses through resource misallocation. Therefore, the social welfare associated with the presence of energy futures markets can be measured using a social loss (SL) statistic and its components. This statistic is computed for six energy futures contracts with eight maturities each with data from April 1992 to December 2012. The results confirm the consistency and robustness of the method. Finally, several practical uses for the SL statistic are suggested.
Download InfoIf 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.
Bibliographic InfoArticle provided by Oviedo University Press in its journal Economics and Business Letters.
Volume (Year): 2 (2013)
Issue (Month): 3 ()
Contact details of provider:
Postal: Avda del Cristo s/n, 33006 Oviedo
Phone: 985 10 37 45
Fax: 985 10 48 71
Web page: http://www.unioviedo.es/reunido/index.php/EBL/index
More information through EDIRC
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral 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: (Francisco Delgado).
If references are entirely missing, you can add them using this form.