کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7411381 | 1481648 | 2018 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Forward risk premia in long-term transmission rights: The case of electricity price area differentials (EPAD) in the Nordic electricity market
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Hedging behaviour among players in derivatives markets have long been explained by forward risk premia. We provide new empirical evidence from the Nordic electricity market and explore the forward risk premia dynamics on power derivative contracts called electricity price area differentials (EPAD). This contract is critical for the market, but its efficiency has been questioned. The study investigates the significance, direction, and magnitude of forward risk premia in individual bidding areas and contract maturities during the period 2001-2013. We test the hypothesis of a negative relationship between forward risk premia and time-to-maturity, for which we find only partial support.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Utilities Policy - Volume 50, February 2018, Pages 194-206
Journal: Utilities Policy - Volume 50, February 2018, Pages 194-206
نویسندگان
Petr Spodniak, Mikael Collan,