Sequential Markets, Market Power, and Arbitrage

• 成果类型: Article
• 署名作者: Ito, Koichiro; Reguant, Mar
• 署名单位: University of Chicago; Northwestern University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20141529
• 发表日期: 2016
• 页码: 1921-1957
• 关键词: electricity spot market; empirical-analysis; CLEARANCE SALES; auctions; inefficiencies; COMPETITION; COSTS

摘要

We develop a framework to characterize strategic behavior in sequential markets under imperfect competition and restricted entry in arbitrage. Our theory predicts that these two elements can generate a systematic price premium. We test the model predictions using microdata from the Iberian electricity market. We show that the observed price differences and firm behavior are consistent with the model. Finally, we quantify the welfare effects of arbitrage using a structural model. In the presence of market power, we show that full arbitrage is not necessarily welfare-enhancing, reducing consumer costs but increasing deadweight loss.