دانلود مقاله ISI انگلیسی شماره 101663
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
101663 2018 16 صفحه PDF سفارش دهید 13930 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Hedging spark spread risk with futures
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Energy Policy, Volume 113, February 2018, Pages 731-746

پیش نمایش مقاله
پیش نمایش مقاله

چکیده انگلیسی

This paper discusses the spark spread risk management using electricity and natural gas futures. We focus on three European markets in which the natural gas share in the fuel mix varies considerably: Germany, the United Kingdom, and the Netherlands. We find that spark spread returns are partially predictable, and consequently, the Ederington and Salas (2008) minimum variance hedging approach should be applied. Hedging the spark spread is more difficult than hedging electricity and natural gas price risks with individual futures contracts. Whereas spark spread risk reduction for monthly periods produces values of between 20.05% and 48.90%, electricity and natural gas individual hedges attain reductions ranging of between 31.22% and 69.06%. Results should be of interest for agents in markets in which natural gas is part of the fuel mix in the power generation system.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.