艾伯塔省电力期货市场：价格形成的实证分析

IF 14.2 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-02-07 DOI:10.1016/j.eneco.2025.108284

Derek E.H. Olmstead , Adonis Yatchew

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引用次数: 0

摘要

阿尔伯塔省运营着一个仅限能源的电力市场，该市场允许单方面行使市场力量，以创造投资激励并解决“缺钱”问题。这与其他司法管辖区形成鲜明对比，这些司法管辖区实施了复杂的行政能力市场，以确保充足的供应。阿尔伯塔市场的一个关键特点是其期货市场，在期货市场上，交割的合约是根据已实现的现货价格进行交易的。期货市场使市场参与者能够对冲价格波动。它为投资决策提供信息，提高价格透明度，并通过减少在现货市场上行使市场力量的动机，帮助形成竞争性价格。我们的实证工作从两个主要方面探讨了艾伯塔省电力期货市场：期货与现货价格之间的关系，以及期货价格受预期现货市场条件影响的演变。我们发现(i)电力期货价格不能提供对现货价格的无偏预测，（ii）部分已实现的期货溢价可以用期货价格确定后获得的信息来解释，以及（iii）期货价格似乎有效地反映了可用信息的变化。

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Alberta's electricity futures market: An empirical analysis of price formation

Alberta operates an energy-only electricity market, which allows the unilateral exercise of market power to create investment incentives and resolve the ‘missing money’ problem. This stands in contrast to other jurisdictions that have implemented administratively complex capacity markets to ensure adequate supply. A key feature of Alberta's market is its futures market, where contracts that settle against realized spot prices are exchanged. The futures market enables market participants to hedge against price volatility. It informs investment decision, enhances price transparency and aids in competitive price formation by diminishing the incentive to exercise market power in the spot market. Our empirical work explores Alberta's electricity futures market in two main areas: the relationship between futures and realized spot prices, and the evolution of futures prices influenced by expected spot market conditions. We find that (i) electricity futures prices do not provide an unbiased forecast of spot prices, (ii) a portion of the realized futures premium can be explained by information that is obtained after the futures price has been set, and (iii) futures prices appear to efficiently reflect changes in available information.

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.