期货商品市场能改善现货市场表现吗?来自批发电力的证据

IF 5.6 1区经济学 Q1 ECONOMICS

American Economic Journal-Economic Policy Pub Date : 2023-05-01 DOI:10.1257/pol.20200234

Akshaya Jha, Frank A. Wolak

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引用次数: 0

摘要

据信，期货市场可以汇总有关未来现货价格的信息，并降低大宗商品的生产成本。我们开发了一种衡量远期和现货价格在交易成本市场上的一致程度的方法。使用这一方法，我们发现在引入金融交易后，日前价格更好地反映了加州电力市场所有地点的实时价格。然后，我们提供的证据表明，在引入金融交易之后，当电力生产和传输固有的非凸性特别相关时，运营成本和投入燃料使用量下降。(jel d23, d24, g13, l94, l98, q48)

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Can Forward Commodity Markets Improve Spot Market Performance? Evidence from Wholesale Electricity

Forward markets are believed to aggregate information about future spot prices and reduce the cost of producing the commodity. We develop a measure of the extent to which forward and spot prices agree in markets with transaction costs. Using this measure, we show that day-ahead prices better reflect real-time prices at all locations in California’s electricity market after the introduction of financial trading. We then present evidence suggesting that operating costs and input fuel use fell after the introduction of financial trading on days when the nonconvexities inherent to the production and transmission of electricity are especially relevant. (JEL D23, D24, G13, L94, L98, Q48)

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来源期刊

American Economic Journal-Economic Policy ECONOMICS-

CiteScore

8.20

自引率

1.90%

发文量

期刊介绍： The American Economic Review (AER) is a general-interest economics journal. The journal publishes 12 issues containing articles on a broad range of topics. Established in 1911, the AER is among the nation's oldest and most respected scholarly journals in economics. American Economic Journal: Economic Policy publishes papers covering a range of topics, the common theme being the role of economic policy in economic outcomes. Subject areas include public economics; urban and regional economics; public policy aspects of health, education, welfare and political institutions; law and economics; economic regulation; and environmental and natural resource economics.