ERN: Energy (Topic)最新文献

{"title":"Towards Recoupling? Assessing the Global Impact of a Chinese Hard Landing Through Trade and Commodity Price Channels.","authors":"Ludovic Gauvin, Cyril Rebillard","doi":"10.2139/ssrn.2625958","DOIUrl":"https://doi.org/10.2139/ssrn.2625958","url":null,"abstract":"China’s rapid growth over the past decade has been one of the main drivers of the rise in mineral commodity demand and prices. At a time when concerns about the sustainability of China’s growth model are rising, this paper assesses to what extent a hard landing in China would impact other countries, with a focus on trade and commodity price channels. After reviewing the main arguments pointing to a hard landing scenario – historical rebalancing precedents, overinvestment, unsustainable debt trends, and a growing real estate bubble – we focus on a sample of 36 countries, and use a global VAR methodology adapted to conditional forecasting to simulate the impact of a Chinese hard landing. We model metal and oil markets separately to account for their different end-use patterns and consumption intensity in China, and we identify three specific transmission channels to net commodity exporters: through real exports, through income effects (related to commodity prices), and through investment (a fall in commodity prices reducing incentives to invest in the mining and energy sectors); we also look at the role played by the exchange rate as a shock absorber. According to our estimates, emerging economies (ex. China) would be hardest hit – with a 7.5 percent cumulated growth loss after five years –, in particular in South-East Asia but also in commodity-exporting regions such as Latin America; advanced economies would be less affected. The \"growth gap\" between emerging and advanced economies would be considerably reduced, leading to partial recoupling.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126805942","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Volatility and Risk Management in European Electricity Futures Markets","authors":"J. Hanly, Lucía Morales","doi":"10.2139/ssrn.2607490","DOIUrl":"https://doi.org/10.2139/ssrn.2607490","url":null,"abstract":"This paper estimates and applies a risk management strategy for electricity spot exposures using futures hedging. We apply our approach to three of the most actively traded European electricity markets, Nordpool, APXUK and Phelix. We compare both optimal hedging strategies and the hedging effectiveness of these markets for two hedging horizons, weekly and monthly using both Variance and Value at Risk (VaR). We find significant differences in both the Optimal Hedge Ratios (OHR’s) and the hedging effectiveness of the different electricity markets. Better performance is found for the Nordpool market while the poorest performer in hedging terms is Phelix. However we also find that electricity futures hedging are relatively ineffective as a risk management tool when compared with other energy assets. This is especially true at the weekly frequency.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126047000","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Applications of Weather Derivatives in the Energy Market","authors":"Kaijie Cui, A. Swishchuk","doi":"10.21314/jem.2015.132","DOIUrl":"https://doi.org/10.21314/jem.2015.132","url":null,"abstract":"This paper analyzes various types of weather-related risks in different industries. Due to the existence and popularity of the established weather insurance market, we also discuss the differences between weather derivatives and insurance, and the advantages of using weather derivatives instead of insurance in weather risk management. First, we discuss the applications of temperature futures by providing a static, simple strategy to hedge volume risks in practice. Then, by building up a system of models for energy and temperature, we propose a dynamic hedging strategy in order to hedge energy futures using temperature futures.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129045396","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Greenfield Model to Evaluate Long-Run Power Storage Requirements for High Shares of Renewables","authors":"Alexander Zerrahn, W. Schill","doi":"10.2139/ssrn.2591303","DOIUrl":"https://doi.org/10.2139/ssrn.2591303","url":null,"abstract":"We develop a dispatch and investment model to study the role of power storage and other flexibility options in a greenfield setting with high shares of renewables. The model captures multiple system values of power storage related to arbitrage, dispatchable capacity, and reserves. In a baseline scenario, we find that power storage requirements remain moderate up to a renewable share of around 80%, as other options on both the supply side and demand side also offer flexibility at low cost. Yet storage plays an important role in the provision of reserves. If the renewable share increases to 100%, the required capacities of power storage and other technologies increase strongly. As long-run parameter assumptions are highly uncertain, we carry out a range of sensitivity analyses, for example, with respect to the costs and availabilities of storage and renewables. A common finding of these sensitivities is that – under very high renewable shares – the storage requirement strongly depends on the costs and availability of other flexibility options, particularly on biomass availability. We conclude that power storage becomes an increasingly important element of a transition towards a fully renewable-based power system. Power storage gains further relevance if other potential sources of flexibility are less developed. Supporting the development of power storage should thus be considered a useful component of policies designed to safeguard the transition towards renewables.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128165496","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Renewable Energy Support in Germany: Surcharge Development and the Impact of a Decentralized Capacity Mechanism","authors":"T. Traber, C. Kemfert","doi":"10.2139/ssrn.2568648","DOIUrl":"https://doi.org/10.2139/ssrn.2568648","url":null,"abstract":"The German support for renewable energies in the electricity sector is based on the feed-in tariff for investors that grants guaranteed revenues for their renewable energy supply. Corresponding to differences of granted tariffs and respective market values, a surcharge on consumption covers differential costs. While granted tariffs are bound to fall with advances in renewable energy technologies, the market design and the flexibility of the system influence the expected market values of renewables and the necessary surcharge. We apply the European electricity market equilibrium model EMELIE-ESY to investigate this relationship. We find a crucial dependence of market values of renewables on a high system flexibility and the current so-called energy-only market design. Under these conditions, the market values of renewables sequentially recover with increasing market prices by 2024 and 2034. This allows to limit the increase of the core surcharge to below a quarter of its 2013 value by 2024 despite a doubling of renewables, and to introduce substantial surcharge reductions through 2034. However, the introduction of a capacity market would erode market values of renewable energies and induce a pronounced growth of the core surcharge. Under inflexible supply structures and a capacity market, we find an increase of the core surcharge of more than 50 percent by 2024, a respective loss of the market value of wind power of the same magnitude, and an increase of the generation induced part of the consumer prices of more than a quarter.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126200803","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Efectos Del Cargo Por Confiabilidad Sobre El Precio Spot De La Energía Eléctrica En Colombia (Impact of Electricity Generation Reliability on the Colombian Spot Price)","authors":"J. Botero, J. García, H. Velásquez","doi":"10.2139/SSRN.2567994","DOIUrl":"https://doi.org/10.2139/SSRN.2567994","url":null,"abstract":"Spanish Abstract: Este paper considera el efecto del cargo por confiabilidad sobre el precio spot de la energia electrica en Colombia, implementado en 2006 con el fin de incentivar a los generadores existentes o nuevos inversionistas para mejorar la confiabilidad de la prestacion del servicio, lo que conduce a incrementar la capacidad instalada en el mercado de energia mayorista. Se describe el funcionamiento de este mecanismo en Colombia y analiza el comportamiento de algunas variables estructurales en el funcionamiento de este mercado, como la relacion entre la demanda comercial y la disponibilidad real, el fenomeno de El Nino y La Nina, el nivel de embalse y algunas medidas de caracter regulatorio. El precio spot presenta alta volatilidad haciendo que la especificacion adecuada corresponda a un modelo de regresion con estructura ARCH (Engle, 1982). Los resultados obtenidos evidencian que el cargo por confiabilidad es estadisticamente significativo y positivo, es decir hace que el precio spot aumente. Ademas, El Nino presenta un impacto positivo sobre el precio spot, debido a la gran participacion hidraulica de este mercado.English Abstract: This paper considers the effect of electricity generation reliability on the spot price of the electricity market in Colombia, a mechanism implemented in 2006 to encourage existing generators or new investors to increase the installed capacity in the wholesale energy market. We describe the performance of this mechanism in Colombia and analyze the behavior of some structural variables in the operation of this market, such as the ratio between the market demand and the actual availability, El Nino and La Nina, the reservoir level and some regulation measures. The spot price presents high volatility implying that the proper specification corresponds to a regression model with ARCH structure (Engle, 1982). Results show that the reliability charge is positive and statistically significant. Also El Nino has a positive impact on the spot price, due to the large hydraulic share of this market.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127688319","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Non-Linear Forecasting of Energy Futures","authors":"Germán G. Creamer","doi":"10.2139/ssrn.2511056","DOIUrl":"https://doi.org/10.2139/ssrn.2511056","url":null,"abstract":"This paper proposes the use of the Brownian distance correlation for feature selection and for conducting a lead-lag analysis of energy time series. Brownian distance correlation determines relationships similar to those identified by the linear Granger causality test, and it also uncovers additional non-linear relationships among the log prices of oil, coal, and natural gas. When these linear and non-linear relationships are used to forecast energy futures with a non-linear regression method such as random forest for regression, the forecast of energy futures improve when compared to a forecast based only on Granger causality.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"428 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114781666","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Effects of Energy Prices on Agricultural Groundwater Extraction from the High Plains Aquifer","authors":"Lisa Pfeiffer, C.-Y. Cynthia Lin","doi":"10.1093/ajae/aau020","DOIUrl":"https://doi.org/10.1093/ajae/aau020","url":null,"abstract":"We examine the effects of energy prices on groundwater extraction using an econometric model of a farmer's irrigation water pumping decision that accounts for both the intensive and extensive margins. Our results show that energy prices have an effect on both types of margins. Increasing energy prices would affect crop selection decisions, crop acreage allocation decisions, and farmers' demand for water. Our estimated total marginal effect, which sums the effects on the intensive and extensive margins, suggests that a $1 per million btu increase in the energy price would decrease water extraction by an individual farmer by 5.89 acre-feet per year, a decrease of 3.6 percent of the average annual extraction rate. Our estimated elasticity of water extraction with respect to energy price is -0.26.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124130437","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Hedging the Counterparty Credit Risk of an Oil Company with Oil Futures Using Dynamic GARCH – A Derivative's Approach to Right-Way Risk","authors":"F. Lehrbass","doi":"10.2139/ssrn.2377193","DOIUrl":"https://doi.org/10.2139/ssrn.2377193","url":null,"abstract":"If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right- or wrong-way exposures in respective commodity transaction. Identifying them is important, because otherwise credit costs might be inadequately calculated and wrong incentives might be set. This is especially important if one wants to do more business in credit risky areas of the world.As concerns publicly listed counterparties I develop a simple approach for identification of \"Right Way Risk\" (RWR). This approach only works if the stock and commodity price are co-integrated. To set the stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models (Bivariate & Univariate Error Correction Model, Conventional Regression Model) are applied to the Chinese oil company Petrochina and RWR is shown for fixed price purchase contracts. The proposed approach might be useful in getting a more accurate picture of credit risk and to structure commodity transactions more rewardingly.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133927089","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Psychological Barriers in Oil Futures Markets","authors":"M. Dowling, M. Cummins, B. Lucey","doi":"10.2139/ssrn.2184849","DOIUrl":"https://doi.org/10.2139/ssrn.2184849","url":null,"abstract":"WTI and Brent futures are tested for the presence of psychological barriers around $10 price levels, applying a multiple hypothesis testing approach for statistical robustness. Psychological barriers are found to be present in Brent prices but not in WTI prices, which is argued to be due to the more prominent role that Brent plays as a global benchmark and, based on recent behavioural finance research, the greater complexity inherent in Brent fundamental value determination. Brent particularly displays evidence that when breaching a $10 barrier level from below with rising prices, the trend is for prices to fall on average subsequently. Similar behavioural-based patterns are evidenced at the $1 barrier level for the WTI–Brent spread. We show that psychological barriers only appear to influence prices in the pre-credit crisis period of 1990–2006, with such effects dissipating during the crisis and as markets reverted back to wider economy focused fundamentals. A range of reaction windows are applied with the main finding being that the trading potential around such psychological barrier levels is primarily in the immediate 1–5 days following a breach. The research contributes to the scant existing research on psychological influences on energy market traders, and suggests strong potential for further application of behavioural finance theories to improving understanding of energy markets price dynamics.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114903755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}