قراردادهای دو جانبه و بازار لحظه ای برای برق : برخی مشاهدات در بریتانیا و تجارب نوردپول

The performance of the futures and the spot market for electricity in England and Wales (EW) and in the Nordic countries have significant differences in terms of volumes traded and evolution of prices. Even though the institutional arrangements show significant differences and the data collected has important limitations we observe in EW for 1990–99 that as the coverage via bilateral contracts diminished, spot prices tended to increase, there was higher price volatility and an increasing number of plants were declared unavailable. In the NordPool, by contrast, market structure is more distributed, the bilateral contract price has tended to smooth the volatility in the spot price and a very diverse pattern behavior of prices has been observed. We interpret these observations as additional support in favor of the theoretical result by Allaz and Vila (Journal of Economic Theory 59 (1993) 1), but hint at the possibility of strategies by the firms that can diminish the welfare enhancing properties of this new bilateral market.

In several countries the liberalization of the electricity markets has been accompanied by the introduction of futures or bilateral contracts that allow agents to buy/sell Kwh today for delivery at a certain date in the future at a known price. The electricity generation is subject to some risk in that it depends on climatological circumstances, technological innovations and the regulatory framework. The introduction of the futures or contracts markets is aimed at achieving a better allocation of risks among the agents in the market. Due to historical and technological reasons, in some countries the generation activity is highly concentrated. Concentration in generation may have profound implications in the efficiency gains expected after the liberalization process and in the performance of the bilateral contracts market. In this setting of oligopolistic market structure a fundamental question arises: given that the generation activity is concentrated in a small number of firms, does the introduction of a bilateral contracts market lead to a more competitive allocation of resources in the industry? This question has received considerable theoretical interest but less so on the empirical side. In this study we conduct a two-step exercise: first we look at the evolution of volumes and prices traded in both markets, i.e. the spot and the bilateral contracts market, in two different experiences, i.e. the NordPool and England and Wales. In 3, 4 and 4 we propose an interpretation of the evolution observed: based on the theoretical results proposed by Allaz and Vila (1993) and Green (1999) that link the performance of the spot and the bilateral markets, we emphasize the pro-efficiency implications derived from the introduction of a bilateral contracts market.

We have described two liberalization experiences, the NordPool and EW, with respect to the development of bilateral contracts and the spot market. The relationships between these two markets is a fundamental question in evaluating the relative performance of the liberalization processes. We have found a very different behavior of prices and volumes traded in both experiences. While in the NordPool market structure was evenly distributed and the amount of contracts in the bilateral market has been increasing steadily over the 1990s, in EW, CfDs have had a diminishing importance throughout the period in terms of volumes contracted. Prices in the EW pool show a negative correlation with the amount covered with CfDs, i.e. as CfDs approached termination, spot prices tended to increase significantly together with a reduction in the CfD prices. In the NordPool none of these relationships have been found. In Sections 3 and 4 we propose an interpretation of this evolution. Drawing from the theoretical literature, a well known result due to Allaz and Vila (1993), namely that the introduction of a futures market leads to tougher price competition behavior by generators also in the concentrated spot market, we claim that this in fact has been observed in EW for the whole decade. Additionally, as most CfDs ended in 1998, two strategies by EW generators lead us to conclude that less bilateral coverage resulted in price coordination among the generators in the pool: the number of price spikes increased significantly after 1998 and the number of plants declared unavailable for spot market bidding also increased. In the NordPool, on the other hand, the price evolution of the bilateral contracts seems to have played the role of smoothing the volatility of the spot price and none of the correlations observed for EW could be stated clearly. Even though it is plausible that across the years the volatility in spot prices is higher in the NP than in EW, the very diverse behavior of prices and quantities traded in the spot and the bilateral contracts markets in both experinces lead us to the structural interpretation. The interpretation we propose has important limitations. The institutional design, market bidding rules and technologies used in both experiences differ significantly. Most especially we have a limited set of data on bilateral contracts for EW that impedes the application of better empirical methodology. With all these limitations we can observe, however, that in EW the introduction of a bilateral (or futures) contracts market does lead to efficiency gains when the generation activity is highly concentrated and the gains are positively correlated with the liquidity of this market.