Electricity forward prices: A high-frequency empirical analysis

被引：208

作者：

Longstaff, FA ^{[1
]}

Wang, AW

机构：

[1] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90024 USA

[2] Univ Calif Irvine, Grad Sch Management, Irvine, CA 92717 USA

来源：

JOURNAL OF FINANCE | 2004年 / 59卷 / 04期

关键词：

D O I：

10.1111/j.1540-6261.2004.00682.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We conduct an empirical analysis of forward prices in the PJM electricity market using a high-frequency data set of hourly spot and day-ahead forward prices. We find that there are significant risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors, such as the volatility of unexpected changes in demand, spot prices, and total revenues. These results support the hypothesis that electricity forward prices in the Pennsylvania, New Jersey, and Maryland market are determined rationally by risk-averse economic agents.

引用

页码：1877 / 1900

页数：24

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