Equilibrium pricing and optimal hedging in electricity forward markets

• 成果类型: Article
• 署名作者: Bessembinder, H; Lemmon, ML
• 署名单位: Utah System of Higher Education; University of Utah; Emory University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00463
• 发表日期: 2002
• 页码: 1347-1382
• 关键词: FINANCING POLICIES; spot market; futures; POWER; RISK; COMPETITION; INVESTMENT; index

摘要

Spot power prices are volatile and since electricity cannot be economically stored, familiar arbitrage-based methods are not applicable for pricing power derivative contracts. This paper presents an equilibrium model implying that the forward power price is a downward biased predictor of the future spot price if expected power demand is low and demand risk is moderate. However, the equilibrium forward premium increases when either expected demand or demand variance is high, because of positive skewness in the spot power price distribution. Preliminary empirical evidence indicates that the premium in forward power prices is greatest during the summer months.