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Determinants of power spreads in electricity futures markets : a multinational analysis
Spodniak, Petr; Bertsch, Valentin - 2017
The growth in variable renewable energy (vRES) and the need for flexibility in power systems go hand in hand. We study how vRES and other factors, namely the price of substitute fuels, power price volatility, structural breaks, and seasonality impact the hedgeable power spreads (profit margins)...
Persistent link: https://www.econbiz.de/10011763015
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Determinants of power spreads in electricity futures markets: A multinational analysis
Spodniak, Petr; Bertsch, Valentin - 2017
The growth in variable renewable energy (vRES) and the need for flexibility in power systems go hand in hand. We study how vRES and other factors, namely the price of substitute fuels, power price volatility, structural breaks, and seasonality impact the hedgeable power spreads (profit margins)...
Persistent link: https://www.econbiz.de/10011787809
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Forward Hedging and Vertical Integration in Electricity Markets.
Chemla, Gilles; Porchet, Arnaud; Touzi, Nizar; Aïd, René - Université Paris-Dauphine
and forward hedging are two separate levers for demand and spot price risk diversification. We show that they are …
Persistent link: https://www.econbiz.de/10009370236
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Tax Asymmetry, Production and Hedging
Eldor, Rafi (Rafael) - 2014
The paper studies the effect of tax asymmetry on (risk neutral) competitive firm's production and optimal hedging … distribution of the random price, (c) in a multi-period framework with hedging, if tax loss carryback and tax loss carryforward … affected by its first period's profits, the availability of hedging tools, and the tax system …
Persistent link: https://www.econbiz.de/10013061564
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The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - 2009
This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...
Persistent link: https://www.econbiz.de/10010299076
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Informed Trading in Oil-Futures Market
Rousse, Olivier; Sévi, Benoît - 2016
The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures...
Persistent link: https://www.econbiz.de/10011597537
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Risk-adjusted forecasts of oil prices
Pagano, Patrizio; Pisani, Massimiliano - 2009
This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk premium, which, in part, could have been explained by means of a real-time US business cycle indicator, such as the degree of capacity utilization in manufacturing. This result is...
Persistent link: https://www.econbiz.de/10011605045
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The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices
Behmiri, Niaz Bashiri; Manera, Matteo - 2015
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...
Persistent link: https://www.econbiz.de/10011451148
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Modelling jumps in electricity prices: theoryand empirical evidence
Seifert, Jan; Uhrig-Homburg, Marliese - Institut für Industrielle Informationstechnik <Karlsruhe> - 2007
Objective of this paper is to enhance the understanding of modelling jumpsand to analyse the model risk based on the jump component in electricity markets.We provide a common modelling framework that allows to incorporate the main jumppatterns observed in electricity spot prices and compare the...
Persistent link: https://www.econbiz.de/10008911537
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The European Commission and EUA prices : a high-frequency analysis of the EC's decisions on second NAPs
Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - 2009
This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...
Persistent link: https://www.econbiz.de/10003875267