季节性和天然气市场的峰值

IF 14.2 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-05-29 DOI:10.1016/j.eneco.2025.108586

Francesco Rotondi

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引用次数: 0

摘要

本文提出并检验了天然气现货价格及其便利收益的无套利模型。通过对欧洲天然气现货和期货市场的实证分析，我们观察到原木现货价格是非平稳的，表现出轻微的季节性，并且表现出几乎连续的行为。相比之下，隐含便利收益率是平稳的，表现出强烈的季节性，并经历频繁的峰值。在此证据的激励下，我们将现货便利产量建模为确定性季节性成分和具有跳跃的均值回归随机过程的组合。通过假设跳跃分量的适当分布，我们推导出期货价格的封闭表达式。我们的模型与欧洲的数据非常吻合，无论是在COVID-19大流行之前还是之后，还是在俄罗斯-乌克兰战争之后。

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Seasonality and spikes in the natural gas market

In this paper we propose and examine an arbitrage-free model for the natural gas spot price and its convenience yield. Performing an empirical analysis of the European natural gas spot and futures markets, we observe that log spot prices are non-stationary, exhibit mild seasonality, and display almost continuous behaviour. In contrast, the implied convenience yield is stationary, shows strong seasonality, and experiences frequent spikes. Motivated by this evidence, we model the spot convenience yield as a combination of a deterministic seasonal component and a mean-reverting stochastic process with jumps. By assuming an appropriate distribution for the jump component, we derive a closed-form expression for futures prices. Our model demonstrates an excellent fit to European data, both before and after the COVID-19 pandemic and the Russia–Ukraine war.

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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.