دانلود مقاله ISI انگلیسی شماره 51713
ترجمه فارسی عنوان مقاله

انتظارات و صرف ریسک رو به جلو در بازار برق تجدید ساختار شده اسپانیایی

عنوان انگلیسی
Expectations and forward risk premium in the Spanish deregulated power market
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
51713 2010 10 صفحه PDF
منبع

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

Journal : Energy Policy, Volume 38, Issue 2, February 2010, Pages 784–793

ترجمه کلمات کلیدی
مقررات زدایی - رفتار عوامل - حق بیمه رو به جلو
کلمات کلیدی انگلیسی
Deregulation; Agents’ behavior; Forward premium
پیش نمایش مقاله
پیش نمایش مقاله  انتظارات و صرف ریسک رو به جلو در بازار برق تجدید ساختار شده اسپانیایی

چکیده انگلیسی

Deregulation in energy markets has entailed important changes in the way agents conduct business. Price risk arises as a result of fluctuations in the future price of electricity and agents assume long or short positions in the forward and spot markets to hedge their exposure to price risk. The presence of forward risk premium in prices is evidence of the fact that agents act in the market according to risk considerations. This work aims to analyse the information content of the difference between the forward and spot prices (the so-called forward premium) regarding the agents’ decisions. We find that the sign and magnitude of the ex post forward premium depend on the unexpected variation in demand and on the unexpected variation in the hydroelectric capacity, and that both the ex post and the ex ante forward premia are negatively related to the variance of spot price, as Bessembinder and Lemmon (2002) predict. We provide additional insights about relevant aspects of spot price pricing in the Spanish electricity market such as the positive relation between spot prices and CO2 emission allowance prices or the impact on spot prices of the set of market matching rules introduced in March 2006.