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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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Representing the Effects of Oligopolistic Competition on Risk-Neutral Prices in Power Markets
Vazquez, Miguel - 2012
Forward transactions are becoming increasingly important in most of electricity markets. In this view, this paper develops a methodology able to capture the complexities of power markets and incorporate them into the framework of risk-neutral probabilities. This is done by the statement of a...
Persistent link: https://www.econbiz.de/10013116996
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An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia
Cartea, Álvaro - 2012
The liberalisation of energy markets entails the appearance of market risks which must be borne by market participants: producers, retailers, and final consumers. Some of these risks can be managed by participating in the forward markets and transferring it to other agents who are willing to...
Persistent link: https://www.econbiz.de/10013101051
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Modelling Higher Moments of Electricity Prices
Serna, Gregorio - 2013
It is crucial to model, quantify and understand the variables and dynamics that underlie the well-known extreme behaviour of spot electricity prices in wholesale markets. We explicitly model the conditional volatility and skewness of electricity prices. A GARCH-type model allowing for...
Persistent link: https://www.econbiz.de/10013089137
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Asymmetric Volatility in Commodity Markets
Chen, Yu-Fu - 2020
The paper studies the return-volatility relationship in a range of commodities. We develop a commodity price model and show that the volatility of price changes can be positively or negatively related to demand shocks. An “inverse leverage effect” – the volatility is higher following...
Persistent link: https://www.econbiz.de/10012843335
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Market power and forward prices
Ruddell, Keith; Downward, Tony; Philpott, Andy - 2017
We construct a model of strategic behavior in sequential markets which exhibits a persistent forward price premium. On the spot market, producers wield market power while purchasers are price takers. Producers with forward commitments have less incentive to raise prices on the spot market....
Persistent link: https://www.econbiz.de/10011754259
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The competitive effects of linking electricity markets across space and time
Tangerås, Thomas P.; Wolak, Frank A. - 2017
We show that a common regulatory mandate in electricity markets that use location-based pricing that requires all customers to purchase their wholesale electricity at the same quantity-weighted average of the locational prices can increase the performance of imperfectly competitive wholesale...
Persistent link: https://www.econbiz.de/10011742358
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Polynomial processes for power prices
Filipović, Damir; Larsson, Martin; Ware, Tony - 2018
Polynomial processes have the property that expectations of polynomial functions (of degree n, say) of the future state of the process conditional on the current state are given by polynomials (of degree n) of the current state. Here we explore the application of polynomial processes in the...
Persistent link: https://www.econbiz.de/10011899816
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Analyzing rebound effects
Schettkat, Ronald - 2009
Are efficiency improvements in the use of natural resources the key for sustainable development, are they the solution to environmental problems, or will second round effects –so-called rebound effects- compensate or even overcompensate potential savings, will they fire back? The answer to...
Persistent link: https://www.econbiz.de/10003836154
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Analyzing rebound effects
Schettkat, Ronald - 2009
Are efficiency improvements in the use of natural resources the key for sustainable development, are they the solution to environmental problems, or will second round effects - so-called rebound effects - compensate or even overcompensate potential savings, will they fire back? The answer to...
Persistent link: https://www.econbiz.de/10003882199