Can market power in the electricity spot market translate into market power in the hedge market?

被引：14

作者：

Fiuza de Braganca, Gabriel Godofredo ^{[1
,2
]}

Daglish, Toby ^{[3
]}

机构：

[1] IPEA, Rio De Janeiro, Brazil

[2] IBMEC, Rio De Janeiro, Brazil

[3] Victoria Univ Wellington, Wellington, New Zealand

来源：

ENERGY ECONOMICS | 2016年 / 58卷

关键词：

Electricity; Market structure; Hybrid models; Wholesale markets; Forward contracts; Commodity pricing; SUPPLY FUNCTION EQUILIBRIA; DIVISIBLE GOOD AUCTIONS; COMMODITY PRICES; COMPETITION; VALUATION; OLIGOPOLY; CONTRACTS; COLLUSION; STORAGE;

D O I：

10.1016/j.eneco.2016.05.010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Electricity is a non-storable commodity frequently traded in complex markets characterized by oligopolistic structures and uniform-price auctions. Electricity prices have idiosyncratic patterns not addressed by the usual commodity pricing literature. This paper develops an electricity market model that allows for oligopoly, vertical integration, and a uniform-price auction mechanism. It derives a linear equilibrium relationship between spot prices and state variables affecting firms' costs and demand. It then applies a two factor forward pricing model over the equilibrium spot price process, and shows that forward prices can be positively affected by spot market power. An empirical estimation of the model follows, using NZEM data. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：11 / 26

页数：16

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