Equilibrium forward risk premiums in electricity markets

被引：0
|
作者：
Ullrich, Carl J. [1 ]
机构：
[1] Virginia Polytech Inst & State Univ, Pamplin Coll Business, Dept Finance Insurance & Business Law, Blacksburg, VA 24061 USA
来源：
JOURNAL OF ENERGY MARKETS | 2013年 / 6卷 / 03期
关键词：
D O I：
10.21314/JEM.2013.096
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper develops an equilibrium electricity forward pricing model which explicitly accounts for constrained capacity. The model is able to reproduce the price spikes observed in wholesale electricity markets using reasonable parameter values. The equilibrium forward premium, defined as the forward price minus the expected spot price, decreases in spot price variance when the expected spot price is less than the retail price, but increases in spot price variance when the expected spot price is greater than the retail price. The forward premium is an increasing function of the ratio of the expected spot price to the retail price.
引用
收藏
页码：29 / 49
页数：21
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