دانلود مقاله ISI انگلیسی شماره 51677
عنوان فارسی مقاله

صرف ریسک در بازار برق آتی آلمان

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
51677 2011 9 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Risk premiums in the German day-ahead Electricity Market
منبع

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

Journal : Energy Policy, Volume 39, Issue 1, January 2011, Pages 386–394

کلمات کلیدی
صرف ریسک؛ بازار برق؛ قیمت لحظه ای
پیش نمایش مقاله
پیش نمایش مقاله صرف ریسک در بازار برق آتی آلمان

چکیده انگلیسی

This paper conducts an empirical analysis of risk premiums in the German day-ahead Electricity Wholesale Market. We compare hourly price data of the European Energy Exchange (EEX) auction and of the continuous over-the-counter (OTC) market which takes place prior to the EEX auction. Data provided by the Energy Exchange Austria (EXAA) has been used as a snapshot of the OTC market two hours prior to the EEX auction. Ex post analysis found market participants are willing to pay both significant positive and negative premiums for hourly contracts. The largest positive premiums were paid for high demand evening peak hours on weekdays during winter months. By contrast, night hours on weekends featuring lowest demand levels display negative premiums. Additionally, ex ante analysis found a strong positive correlation between the expected tightness of the system and positive premiums. For this purpose, a tightness factor has been introduced that includes expectations of fundamental factors such as power plant availability, wind power production and demand. Hence, findings by Longstaff and Wang (2004) can be supported that power traders in liberalised markets behave like risk-averse rational economic agents.

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