Convenience Yields in Electricity Prices: Evidence from the Natural Gas Market

被引：4

作者：

Milonas, Nikolaos ^{[1
]}

Paratsiokas, Nikolaos ^{[2
]}

机构：

[1] Univ Athens, 1 Sofokleous St, Athens 10559, Greece

[2] Inst Econ & Ind Res, Athens, Greece

来源：

JOURNAL OF FUTURES MARKETS | 2017年 / 37卷 / 05期

关键词：

EMPIRICAL-ANALYSIS; FUTURES PRICES; STORAGE; VALUATION; POWER; SPOT;

D O I：

10.1002/fut.21807

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study develops a model in which changes in the electricity basis are directly related to changes in the fuel's storage level and the fuel's convenience yield. The model is tested with data from the US electricity and natural gas markets during the period 2004-2014. Empirical results show a negative relationship between the electricity basis and the fuel's convenience yield giving support to the argument that non-storable commodities embody convenience yields. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:522-538, 2017

引用

页码：522 / 538

页数：17

共 50 条

[31] How Does Welfare from Load Shifting Electricity Policy Vary with Market Prices? Evidence from Bulk Storage and Electricity Generation
Holladay, J. Scott
LaRiviere, Jacob
[J]. ENERGY JOURNAL, 2018, 39 (06): : 235 - 272
[32] How electricity and natural gas prices affect banking systemic risk
Mure, Pina
Paccione, Cosimo
Marzioni, Stefano
Giorgio, Saverio
[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2024, 72
[33] Long-term Forecasts for Electricity and Natural gas prices.
Borggrefe, F.
Lochner, S.
[J]. BWK, 2009, 61 (09): : 50 - 59
[34] An analysis of the relationship between electricity and natural-gas futures prices
Emery, GW
Liu, QF
[J]. JOURNAL OF FUTURES MARKETS, 2002, 22 (02) : 95 - 122
[35] Uncovering the nonlinear predictive causality between natural gas and electricity prices
Uribe, Jorge M.
Guillen, Montserrat
Mosquera-Lopez, Stephania
[J]. ENERGY ECONOMICS, 2018, 74 : 904 - 916
[36] The growing importance of natural gas as a predictor for retail electricity prices in US
Alexopoulos, Thomas A.
[J]. ENERGY, 2017, 137 : 219 - 233
[37] WHO (ELSE) BENEFITS FROM ELECTRICITY DEREGULATION? COAL PRICES, NATURAL GAS, AND PRICE DISCRIMINATION
Hughes, Jonathan E.
Lange, Ian
[J]. ECONOMIC INQUIRY, 2020, 58 (03) : 1053 - 1075
[38] THE REVIEW OF ELECTRICITY MARKET LIBERALIZATION IMPACTS ON ELECTRICITY PRICES
Streimikiene, D.
Bruneckiene, J.
Cibinskiene, A.
[J]. TRANSFORMATIONS IN BUSINESS & ECONOMICS, 2013, 12 (03): : 40 - 60
[39] GERMAN NATURAL-GAS MARKET AND INTERNATIONAL SUPPLY CONDITIONS .2. NATURAL-GAS MARKET PRICES
DOLINSKI, U
[J]. ERDOL & KOHLE ERDGAS PETROCHEMIE, 1978, 31 (05): : 233 - 242
[40] Impact of Globalization of the Natural Gas Market on Natural Gas Prices in Power Generation and Energy Development
Hammons, Tom
Johnson, Raymond
Blyden, Bai
[J]. 2008 IEEE POWER & ENERGY SOCIETY GENERAL MEETING, VOLS 1-11, 2008, : 622 - 625

← 1 2 3 4 5 →