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COVID-19 and the Information Content of Electricity Futures

Patria, Margarita; Tahaj, Redina; Triest, Robert K. - 2023

This paper examines the change in expected future electric power prices as market participants became aware of COVID-19. Using an extension of the framework developed by Fama and French (1987), we recover future spot price expectations based on information embedded in prices of futures contracts...

Persistent link: https://www.econbiz.de/10014350880

Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis

Hayes, Dermot; Du, Xiaodong; Yu, Cindy L. - Food and Agricultural Policy Research Institute … - 2009

be largely explained by tightened interdependence between these markets induced by ethanol production. …

Persistent link: https://www.econbiz.de/10008550543

The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs

Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 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/10008533676

Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis

Hayes, Dermot; Du, Xiaodong; Yu, Cindy L. - Center for Agricultural and Rural Development (CARD), … - 2009

be largely explained by tightened interdependence between these markets induced by ethanol production. …

Persistent link: https://www.econbiz.de/10004999996

Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil

Milunovich, George; Ripple, Ronald D. - Department of Economics, Faculty of Business and Economics - 2006

activity attributable to crude oil futures for non-hedging investors has no significant effect. …

Persistent link: https://www.econbiz.de/10005423299

Risk-Adjusted Forecasts of Oil Prices

Pagano, Patrizio; Pisani, Massimiliano - Banca d'Italia - 2006

This paper documents the existence of a significant forecast error on crude oil futures, particularly evident since the mid-1990s, which is negative on average and displays a non-trivial cyclical component (risk premium). We show that the forecast error on oil futures could have been explained...

Persistent link: https://www.econbiz.de/10005609334

Investment timing and optimal capacity choice for small hydropower projects

Bøckman, Thor; Fleten, Stein-Erik; Juliussen, Erik; … - Volkswirtschaftliche Fakultät, … - 2006

production in a plant, based on all the important choices for such a plant. The main results of the spreadsheet are simulated … production size and the investment costs, which are in turn used for finding the value of the real option and the price limit …

Persistent link: https://www.econbiz.de/10005620027

Modeling long-term electricity forward prices

Povh, Martin; Fleten, Stein-Erik - Volkswirtschaftliche Fakultät, … - 2009

In contrast to forwards and futures on storable commodities, prices of long-term electricity forwards exhibit a dynamics different to that of short-term and mid-term prices. We model long-term electricity forward prices through demand and supply for electricity, adjusted with a risk premium....

Persistent link: https://www.econbiz.de/10005621703

Electricity Spot and Derivatives Pricing when Markets are Interconnected

Füss, Roland; Mahringer, Steffen; Prokopczuk, Marcel - School of Finance, Universität St. Gallen - 2013

, do have important implications for pricing and hedging in these markets. Since traditional reduced-form models fail to …

Persistent link: https://www.econbiz.de/10010743416

Selective hedging in hydro-based electricity companies

Sanda, Gaute Egeland; Olsen, Eirik Tandberg; Fleten, … - In: Energy Economics 40 (2013) C, pp. 326-338

electricity production using the power derivatives available at NASDAQ OMX Commodities. In their hedging policy, these companies …We analyze risk management trends in electricity commodity markets using the production and transaction data and … written hedging policies of 12 Norwegian hydropower companies. The scope of our analysis is the hedging of physical …

Persistent link: https://www.econbiz.de/10010718759