ERN: Energy (Topic)最新文献_第5页

Risk Premiums in Interconnected Australian Electricity Futures Markets 澳大利亚互联电力期货市场的风险溢价

ERN: Energy (Topic) Pub Date : 2013-06-15 DOI: 10.2139/ssrn.2279945

Rangga Handika, S. Trück

{"title":"Risk Premiums in Interconnected Australian Electricity Futures Markets","authors":"Rangga Handika, S. Trück","doi":"10.2139/ssrn.2279945","DOIUrl":"https://doi.org/10.2139/ssrn.2279945","url":null,"abstract":"We provide an empirical analysis of the relationship between spot and futures prices in interconnected regional Australian electricity markets. Examining ex-post risk premiums in futures markets, we find positive and significant risk premiums for several of the considered regions. Therefore, electricity futures prices cannot be considered as an unbiased estimator of the average realized spot price during the delivery period. Market participants are willing to pay a significant additional compensation to get rid of the exposure to price shocks and spikes in the spot market. We further demonstrate seasonal effects in the observed premiums as well as strong and positive correlations between the observed risk premiums across the considered markets. Overall, the observed premiums indicate risk aversion of market participants, in the Queensland and Victoria electricity market. We also relate realized premiums to variables such as spot price levels, volatility, skewness and kurtosis prior to the delivery period. Due to the high correlation of the observed premiums across the regions, we apply a seemingly unrelated regression (SUR) approach. We find that in particular spot price levels, but also skewness and kurtosis of spot prices contribute significantly to the explanation of realized risk premiums.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116476985","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}

引用次数: 13

Fundamentals Versus Speculation: What Really Drives Spillovers and Informed Trading in Futures and Spot Markets of Refined Petroleum Products? 基本面与投机:是什么真正推动了成品油期货和现货市场的溢出效应和知情交易?

ERN: Energy (Topic) Pub Date : 2013-06-08 DOI: 10.2139/ssrn.2276540

G. Ngene, Peter Tauchner

{"title":"Fundamentals Versus Speculation: What Really Drives Spillovers and Informed Trading in Futures and Spot Markets of Refined Petroleum Products?","authors":"G. Ngene, Peter Tauchner","doi":"10.2139/ssrn.2276540","DOIUrl":"https://doi.org/10.2139/ssrn.2276540","url":null,"abstract":"In commodities market, the theory of storage suggests that the basis or spread varies with changes in fundamental supply and demand factors. We thus expect these fundamentals, as opposed to speculative trading, to be the primary triggers of volatility in the spot market. Because of structural and functional differences in spot and futures markets, production adjustment cost, sign and sign of the basis, we expect nonlinear price convergence mechanism and time varying volatility. We employ nonlinear and asymmetric error correction model with time-varying volatility to characterize the spot and futures price dynamics of gasoline and heating oil. We show that there is unidirectional and time-varying volatility spillover from futures to spot market since informed trading occurs in the futures markets. We find that error correction process is essentially asymmetric, non-linear, and volatility inducing. The basis account for more than 92% of total volatility suggesting that it is the fundamentals and not speculative trading that drive volatility and spillovers. Moreover, futures prices converge to equilibrium relationship when the basis is positive due to absence of production adjustment costs. We can thus make inference that conventional methodologies that disregard these convolutions in the study of time series dynamics of variables that exhibit mutual stochastic trend may be mis-specified. Our results are robust under different regimes.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131371355","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}

引用次数: 0

A Microeconomic Framework for Evaluating Energy Efficiency Rebound and Some Implications 评价能源效率反弹的微观经济框架及其启示

ERN: Energy (Topic) Pub Date : 2013-05-01 DOI: 10.3386/W19044

S. Borenstein

{"title":"A Microeconomic Framework for Evaluating Energy Efficiency Rebound and Some Implications","authors":"S. Borenstein","doi":"10.3386/W19044","DOIUrl":"https://doi.org/10.3386/W19044","url":null,"abstract":"Improving the efficiency with which we use energy is often said to be the most cost-effective way to reduce energy use and greenhouse gas emissions. Yet, such improvements usually lower the cost of using energy-intensive goods and may create wealth from the energy savings, both of which lead to increased energy use, a \"rebound'' effect. Disagreements about the magnitude of energy efficiency rebound are immense and play a central role in debates over the role energy efficiency can play in combating climate change. But these differing views seem to stem as much from the lack of a common framework for the analysis as from different estimates of key parameters. I present a theoretical framework that parses rebound into economic income and substitution effects. The framework captures the wide range of rebound effects that have been termed direct, indirect, re-spending, and transformational rebound, among others. It does not capture economy-wide impacts, such as the potential for a macroeconomic multiplier or the impact on energy prices, which I discuss separately. I then explore the implications of this framework for measurement of rebound, examining rebound from improved auto fuel economy and lighting efficiency. The illustrative calculations I carry out suggest that rebound that more than offsets the savings from energy efficiency investments (known as \"backfire\") is unlikely, but rebound is likely to significantly reduce the net savings from at least these energy efficiency improvements.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123344845","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}

引用次数: 235

The Hotelling Valuation Principle: Evidence from the Six Super Majors 霍特林估值原则:来自六大超级专业的证据

ERN: Energy (Topic) Pub Date : 2012-10-30 DOI: 10.2139/ssrn.2168621

Guillaume Dimitris Galanos

引用次数: 0

An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia 电力远期价格与远期风险溢价的主要决定因素分析

ERN: Energy (Topic) Pub Date : 2012-09-06 DOI: 10.2139/ssrn.2142590

Á. Cartea, Pablo Villaplana

引用次数: 18

Multivariate Volatility Modeling of Electricity Futures: Online Appendix 电力期货的多元波动率模型:在线附录

ERN: Energy (Topic) Pub Date : 2011-12-07 DOI: 10.2139/ssrn.2965511

L. Bauwens, C. Hafner, Diane Pierret

引用次数: 1

The Spanish Gas and Electricity Sector: Regulation, Markets and Environmental Policies 西班牙天然气和电力部门:法规、市场和环境政策

ERN: Energy (Topic) Pub Date : 2010-11-01 DOI: 10.2139/ssrn.2883869

G. Federico

引用次数: 10

The Dynamics of Hourly Electricity Prices 每小时电价的动态

ERN: Energy (Topic) Pub Date : 2010-02-04 DOI: 10.2139/ssrn.2894267

W. Härdle, S. Trück

引用次数: 39

Modélisation Et Calibration Des Prix Spot Électriques (Modeling and Calibration of Spot Power Price) modmodilisation Et Calibration Des Prix Spot Électriques(现货电价建模与校准)

ERN: Energy (Topic) Pub Date : 2004-06-06 DOI: 10.2139/ssrn.2943967

O. Senhadji El Rhazi

{"title":"Modélisation Et Calibration Des Prix Spot Électriques (Modeling and Calibration of Spot Power Price)","authors":"O. Senhadji El Rhazi","doi":"10.2139/ssrn.2943967","DOIUrl":"https://doi.org/10.2139/ssrn.2943967","url":null,"abstract":"<b>French Abstract</b>: Modele factoriel gaussien modélisant les prix d'électricité en France. Modélisation, calibration et valorisation des options vanillas sur forward. Ce document traite aussi la dessaisonalisation des prix et le calcul des facteurs avec maximum de vraisemblance. La calibration du modèle consiste à l'estimation de la tendance, la volatilité et la prime du risque historique des prix spots de l'électricité. La prime de risque étant variable et inconnue rend le problème de l'estimation très difficile. Les résidus récupérés de la calibration sont notamment non gaussien avec un Kurtosis autour de 5 et un pas de Skewness. Ce document est la première partie d'une étude exhaustive sur la nature de la dynamique des prix de l'électricité. Il se conclue que ce model gaussien est utile mais incomplet. Il nécessite une composante de saut sinon la valorisation des options sera fausse. <b>English Abstract</b>: Gaussian factorial model modeling French electricity prices. Modeling, calibration and valuation of vanilla options on forwards. This paper also discusses the seasonal adjustment of prices and the factors calculation using maximum likelihood. The calibration of the model is used to estimate the mean, volatility and the historical risk premium form electricity spots prices. The fact that the risk premium is variable and unknown makes the problem very difficult to estimate. The recovered residues of the calibration have a distribution non-Gaussian with a kurtosis around 5 and a 0 skewness. This document is the first part of a comprehensive study on the nature of the dynamics of electricity prices. It concluded that the Gaussian model is useful but incomplete. It requires a jump component if used for valuation of options the price would be off market.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129327426","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}

引用次数: 0