Electricity Forward Prices : A High - Frequency Empirical Analysis  

Oleh:

Longstaff, Francis A. ; Wang, Ashley W.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 4 (Aug. 2004), page 1877-1900.
Topik: ELECTRICITY; forward exchange contracts; commodity prices; electric utilities; studies; futures market; power marketers
Fulltext: p 1877.pdf (177.59KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We conduct an empirical analysis of forward prices in the PJM electricity market using a high - frequency data set of hourly spot and day - ahead prices. We find that there are significantly risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors, such as the volatility of unexpected changes in demand, spot prices, and total revenues. These results support the hypothesis that electricity forward prices in the Pennsylvania, New Jersey, and Maryland markets are determined rationally by risk - adverse economic agents.

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