Can Forward Commodity Markets Improve Spot Market Performance? Evidence from Wholesale Electricity

• 成果类型: Article
• 署名作者: Jha, Akshaya; Wolak, Frank A.
• 署名单位: Carnegie Mellon University; Stanford University; Stanford University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY
• ISSN/ISSBN: 1945-7731
• DOI: 10.1257/pol.20200234
• 发表日期: 2023
• 页码: 292-330
• 关键词: time-series; unit-root; POWER; arbitrage; IMPACT; COSTS; RISK

摘要

Forward markets are believed to aggregate information about future spot prices and reduce the cost of producing the commodity. We develop a measure of the extent to which forward and spot prices agree in markets with transaction costs. Using this measure, we show that day-ahead prices better reflect real-time prices at all locations in California's electricity market after the introduction of financial trading. We then present evidence suggesting that operating costs and input fuel use fell after the introduction of financial trading on days when the nonconvexities inherent to the production and trans-mission of electricity are especially relevant.