تجزیه و تحلیل بهره وری بازار معاملات آتی شبه جزیره ایبری

Market efficiency is analysed for the Iberian Power Futures Market and other European Power Markets, as well as other fuel markets through evaluation of ex-post Forward Risk Premium. The equilibrium price from compulsory call auctions for distribution companies within the framework of the Iberian Power Futures Market is not optimal for remuneration purposes as it seems to be slightly upward biased. In the period considered (August 2006–July 2008), monthly futures contracts behave similarly to quarterly contracts. Average risk premia have been positive in power and natural gas markets but negative in oil and coal markets. Different hypotheses are tested regarding increasing volatility with maturity and regarding Forward Risk Premium variations (decreasing with variance of spot prices during delivery period and increasing with skewness of spot prices during delivery period). Enlarged data sets are recommended for stronger test results. Energy markets tend to show limited levels of market efficiency. Regarding the emerging Iberian Power Futures Market, price efficiency is improved with market development of all the coexistent forward contracting mechanisms and with further integration of European Regional Electricity Markets.

Since its beginning in July 2006, the Iberian Power Futures Market managed by Iberian Forward Market Operator (OMIP), within the framework of the Iberian Electricity Market (MIBEL), has experienced a continuous development, in terms of number of participants and liquidity. At this moment, around 30 market players participate in OMIP. Almost half of them (12) belong to Iberian energy incumbents (vertically integrated energy groups with separated generation and distribution companies). Only six members are pure financial agents, still a reduced figure. Additionally, only two market makers have been active in OMIP: RBS Sempra quoting monthly contracts in the periods September 2007–March 2008 and May 2008–October 2008, and EGL Spain quoting quarterly and yearly contracts in the period November 2008–April 2008. The main amount of traded energy in OMIP is still driven by compulsory call auctions according to national regulations aimed at fostering the MIBEL. The Spanish distribution companies and the Portuguese last resort supplier with more than 100,000 clients are obliged to purchase in these auctions, in order to partly cover their portfolios of end-user-regulated supplies. Such an obligation comprises 5% of their regulated supplies, for the 2nd half of year 2006, as agreed by MIBEL Council of Regulators in the Évora Summit (November 2005), and published in the corresponding legislation (Spanish Order ITC/2129/2006 and Portuguese “Portaria” 643/2006), and 10% for year 2007 onwards, as agreed in the Badajoz Summit (November 2006), and published in Spanish Order ITC/3990/2006 and Portuguese Dispatch 780/2007 (for 1st half of year 2007), Spanish Order ITC/1865/2007 and Portuguese Dispatch /2007 of 29 June, 2007 (for 2nd half of year 2007 and 1st half of year 2008), Spanish Order ITC/1934/2008 and Portuguese Dispatch 19098/2008 (for 2nd half of year 2008), and Spanish Order ITC/3789/2008 and Portuguese Dispatch 125-A/2009 (for 1st half of year 2009) ( Fernández Domínguez and Xiberta Bernat, 2007; Capitán Herráiz and Rodríguez Monroy, 2009). As shown in Fig. 1, since the last quarter of 2007 the amount of energy traded in the OMIP continuous market has grown slightly compared to previous trading levels, with a record in June 2008, though it is still less than the auctioned amounts. In the first two years of OMIP continuous market (i.e., since July 2006 until July 2008), the accumulated amount of energy traded in OMIP call auctions is more than five times bigger than in the continuous market. Within the first two years of OMIP, despite the record level in June 2008, no generalised trend of increasing volumes is appreciated in the continuous market. Therefore, liquidity of this market is still reduced compared to other European Power Futures Markets. Full-size image (48 K) Fig. 1. Evolution of trading levels (GWh) in OMIP call auctions and OMIP continuous market. Figure options An analysis of the efficiency of the Iberian Power Futures Market is done to assess the situation of this emerging market. This information is of special interest both for all MIBEL market players and for MIBEL Regulatory Committee in charge of MIBEL market supervision. In order to perform this analysis, the article is structured as follows: Section 2Iberian Power Futures Market describes how OMIP call auctions and OMIP continuous market work, as well as other coexisting forward contracting mechanisms within MIBEL scope, namely, the so-called EPE auctions (in Spanish “Emisiones Primarias de Energía”, commonly known in English as virtual power plant (VPP) auctions) and CESUR auctions (in Spanish “Contratos de Energía para Suministros de Último Recurso”, i.e., last resort supply auctions); Section 3Literature Review about Market Efficiency briefly describes the main studies regarding price efficiency of energy and other commodity markets; Section 4Definition of the Ex-post Forward Risk Premium, builds that premium as the difference between the average settlement price of a futures contract and the resulting average spot price during delivery (e.g., Furió and Meneu, 2009), and constitutes it as the driver of the diverse tests performed in the following Sections; Section 5Test 1 Assessment of OMIP Auction Equilibrium Prices assesses if the price formation in OMIP call auctions is satisfactory; Section 6Test 2 Analysis of Basic Statistics of Futures & Spot Prices compares the price evolution of various energy markets; Section 7Test 3 Analysis of Ex-post Forward Risk Premium magnitudes assesses the Forward Risk Premium existence and compares the futures behaviour towards maturity of these energy markets; Section 8Test 4 Bessembinder's and Lemmon's hypothesis compliance analyses the compliance of OMIP, Powernext and Nord Pool Power Markets regarding the hypothesis derived from seminal research based upon an equilibrium model by Bessembinder and Lemmon (2002), claiming that the Forward Risk Premium decreases in the variance of spot prices and increases in the skewness of wholesale prices; finally, Section 9Conclusions summarises the findings of this research and proposes future developments related to this topic.

Market efficiency is analysed for the Iberian Power Futures Markets and other European Power Markets (Powernext and Nord Pool), and fuel markets (Brent, NBP Natural Gas, and EEX ARA Coal) through evaluation of ex-post Forward Risk Premium. The equilibrium price in OMIP compulsory call auctions for distribution companies is not optimal for remuneration purposes as the purchasing costs for regulated supplies tend to be slightly higher than those from OMIP average settlement prices along the whole quotation period. A regulated cap price for each OMIP compulsory call auction could be transitorily applied in order to obtain a lower equilibrium price and therefore diminish regulated costs of supply. Once OMIP continuous market has acceptable liquidity, the settlement price itself would reflect more accurately the market prices and could be used for evaluating the cost of last resort supplies. In the period considered (August 2006–July 2008), monthly futures contracts have a similar behaviour as quarterly contracts and average risk premia have been positive in power markets (especially until Q4–07) and in gas markets but negative in oil and coal markets. In all the examined markets, the Forward Risk Premium for a futures contract tends to diminish as it approaches maturity. Samuelson's maturity effect (increasing volatility with maturity) is only noticeable in OMIP, Powernext, EEX ARA Coal, and Brent. Compliance with Bessembinder's and Lemmon's testable hypothesis regarding Forward Risk Premium variations in power markets (decreasing with variance of spot prices, and increasing with skewness of spot prices) is relatively low. Further research is proposed considering an enlarged data set (especially with quarterly contracts) to better test all the hypotheses and draw additional conclusions. Inclusion of longer contracts (synthetic joint of two quarters, and calendar contracts) may also be of interest, although such series are still reduced if OMIP starting point (July 2006) is considered. In general, it can be concluded that none of the markets analysed presents a noticeable level of market efficiency as remarkable Forward Risk Premia exist in all the markets. Regarding power markets, the behaviour of OMIP futures prices do not differ much in terms of efficiency compared to more mature markets (Powernext and Nord Pool). Although liquidity is still poor in the Iberian Derivatives Market managed by OMIP, its price efficiency has improved along with OMIP market development and should further increase with upcoming integration of European Power Regional Markets as well as with the development of the coexisting forward contracting mechanisms in the Iberian Energy Market, namely, OTC, EPE auctions, and CESUR auctions. Additionally, due to the relevance of natural gas as power-generation fuel within the Iberian energy mix, further development of the Iberian Natural Gas Market (the so-called MIBGAS) will presumably contribute to indirectly improve the desired OMIP price efficiency. Further research is encouraged to analyse the efficiency gains of the Iberian Derivatives Market caused by the dynamic evolution of the Iberian energy markets.