Modelling the Structure of Long-Term Electricity Forward Prices at Nord Pool

IF 2.2 3区 经济学 Q2 BUSINESS, FINANCE
M. Povh, Robert Golob, Stein-Erik Fleten
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引用次数: 6

Abstract

This chapter models long-term electricity forward prices with variables that influence the price of electricity. Long-term modelling requires consideration of expected changes in the demand and supply structure. The model combines high-resolution information on fuel costs from financial markets and low-resolution information on the demand/supply structure of the electricity market. We model the latter using consumption and supply capacity and the former with forward prices of fuels, emission allowances and imported electricity. The model is estimated using data from the Nordic electricity market and global long-term forward prices of energy. Owing to a lack of data on consumption and supply capacity, the estimated results provide only the broad influence of these variables on forward prices. Though extrapolation of the prices observed in Nord Pool may suffer from the influence of short-term variables, such as precipitation and temperature, the model yields robust forecasts of the prices of contracts that are not exchange traded.
Nord Pool长期电力远期价格结构建模
本章用影响电价的变量对长期电力远期价格进行建模。长期建模需要考虑需求和供给结构的预期变化。该模型结合了金融市场燃料成本的高分辨率信息和电力市场需求/供应结构的低分辨率信息。我们用消费和供应能力来模拟后者,用燃料的远期价格、排放限额和进口电力来模拟前者。该模型使用北欧电力市场和全球长期远期能源价格的数据进行估算。由于缺乏关于消费和供应能力的数据,估计结果只提供了这些变量对远期价格的广泛影响。尽管在Nord Pool观察到的价格外推可能会受到降水和温度等短期变量的影响,但该模型对未在交易所交易的合约价格产生了可靠的预测。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
European Journal of Finance
European Journal of Finance BUSINESS, FINANCE-
CiteScore
5.40
自引率
8.00%
发文量
72
期刊介绍: The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.
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