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Expectations and Forward Risk Premium in the Spanish Power Market

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Author Info
María Dolores Furió (Universitat de València)
Vicente Meneu (Universitat de València)
Abstract

To analyse the forward risk premium in the Spanish electricity market, we adopt not only an ex post approach, but also an ex ante. We find that the sign of the ex post forward premium depends on the unexpected variation in demand and on the unexpected variation in the hydro-energy capacity, and that the ex ante forward premium varies with the expected demand in tight market conditions, showing that the participation of forward dealing agents in the Spanish market responds to risk considerations. Moreover, we find support for the implications derived from the Bessembinder & Lemmon (2002) equilibrium model.

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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2009-02.

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Length: 24 pages
Date of creation: Jan 2009
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Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2009-02

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This page was last updated on 2009-11-15.

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