Revisiting the relationship between spot and futures prices in the nord pool electricity market
This paper examines empirically the relationship between electricity spot and futures prices, by analysing a decade of data for a set of short term-to-maturity futures contracts traded in the Most studies of the relationship between spot and futures prices in electricity markets are based on the theory of a forward or risk premium in the futures market. However, since the Nord Pool market is characterized by a high share hydro power with large reservoirs we argue that the theory of storage costs and convenience yield is also relevant. Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Technology. In addition, our analysis shows that the relationship between spot and futures prices is clearly linked to the physical state of the system, such as hydro inflow, reservoir levels, and demand. Downloadable! This work discusses potential pitfalls of applying linear regression models for explaining the relationship between spot and futures prices in electricity markets. In particular, the bias coming from the simultaneity problem, the effect of correlated measurement errors and the impact of seasonality on the regression results. Electricity futures prices: Some evidence on forecast power at Nord Pool Revisiting the relationship between spot and futures prices in the Nord Pool electricity market. For the older
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market. Rafał Weron (rafal.weron@pwr.edu.pl) and Michał Zator.
Price Risk and Hedging Strategies in Nord Pool Electricity Market Evidence with sector Indexes Forecasting electricity spot price for Nord Pool market with a hybrid k-factor GARMA-LLWNN model Nord Pool the 17th of oNvember 2000. These financial instruments make it possible for the players in the market to hedge against the diffe rence between the Area Price and the System Price in a future time period. The forward and futures co ntracts provided by Nord Pool are referred to the System Price, while the producers are being paid the Area For Nord Pool Spot, the net import variable, d Net-Import (t), is defined as the hourly planned trade of electricity between price area DK1 and the price areas NO2 and SE3, and for EPEX d Net-Import (t) is defined as the hourly planned trade of electricity between price area DK1 and Germany. These quantities may deviate from the actual transferred energy amounts, however, only the traded energy in the wholesale market is included, since only this amount should influence day-ahead prices. A note on using the Hodrick-Prescott lter in electricity markets. Energy Economics 48 (2015); with Rafa l Weron Revisiting the relationship between spot and futures prices in the Nord Pool elec-tricity market. Energy Economics 44 (2014); with Rafa l Weron Transaction costs and volatility on Warsaw Stock Exchange: implications for nan- Nord Pool Spot has today 26 March signed an agreement with the Lithuanian transmission system operator, Litgrid, which makes Nord Pool Spot the market operator of the new Lithuanian bidding area. Lithuania will form a new day-ahead Elspot bidding area in the Nord Pool Spot market, with no direct connecti-ons to other existing bidding areas. Production disruptions in coal-powered units are most frequent and have the greatest effect on the differences between the day-ahead and intra-day prices. This paper studies the impact of market-specific news on the short-term forward premia on the Nordic electricity market.
Production disruptions in coal-powered units are most frequent and have the greatest effect on the differences between the day-ahead and intra-day prices. This paper studies the impact of market-specific news on the short-term forward premia on the Nordic electricity market.
6 Dec 2018 Revisiting the relationship between spot and futures prices in the Nord Pool electricity market. Energy Economics, 44, 178–190. Woo, C. K.
Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Technology.
Studying a 13-year long (1998–2010) price series of spot and futures prices at Nord Pool and employing regression models with GARCH residuals, we show that the impact of the water reservoir level on the risk premium is positive, which is to be expected, but contradicts the results of Botterud et al. (2010). Revisiting the relationship between spot and futures prices in the Nord Pool electricity market Rafał Weron⁎,Michał Zator Institute of Organization and Management, Wrocław University of Technology, Wrocław, Poland This paper examines empirically the relationship between electricity spot and futures prices, by analysing a decade of data for a set of short term-to-maturity futures contracts traded in the
The Nordic commodity market for electricity, known as Nord Pool, was established in 1992 as a consequence of the Norwegian energy act of 1991 that formally
Electricity price forecasting (EPF) is a branch of energy forecasting which focuses on predicting the spot and forward prices in wholesale electricity markets. However, electricity is a very special commodity: it is economically "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market". 15 Feb 2019 series of the NordPool, Spanish, Italian and Greek electricity markets and therefore also Furthermore, there is a one-to-one relation between the degree of [24], have investigated the daily spot and futures prices of Serletis and Rosenberg [30] revisited the evidence for the weaker form of the EMH, in. Studying a 13-year long (1998–2010) price series of spot and futures prices at Nord Pool and employing regression models with GARCH residuals, we show that the impact of the water reservoir level on the risk premium is positive, which is to be expected, but contradicts the results of Botterud et al. (2010). Revisiting the relationship between spot and futures prices in the Nord Pool electricity market Rafał Weron⁎,Michał Zator Institute of Organization and Management, Wrocław University of Technology, Wrocław, Poland This paper examines empirically the relationship between electricity spot and futures prices, by analysing a decade of data for a set of short term-to-maturity futures contracts traded in the Most studies of the relationship between spot and futures prices in electricity markets are based on the theory of a forward or risk premium in the futures market. However, since the Nord Pool market is characterized by a high share hydro power with large reservoirs we argue that the theory of storage costs and convenience yield is also relevant. Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Technology.
On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree Philippe Charlot, Vêlayoudom Marimoutou Pages 456-467 The relationship between spot and futures prices in the Nord Pool electricity market . By Audun Botterud, Tarjei Kristiansen and Marija D. Ilic. Abstract. We analyze 11 years of historical spot- and futures prices from the hydro-dominated Nord Pool electricity market. We find that futures prices tend to be higher than spot prices. Analyzing spot and futures contracts in four major regional markets, we first compute ex-ante forward risk premiums in the pre-tax period, then use them to derive market-implied carbon premiums and pass-through rates in the carbon tax and post-tax periods.