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The Influences of the Indirect Storability on the Electricity Futures Prices, Risk Premiums and Price Expectations
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| Khadijeh Hassanlou *, Mohammad Samanian |
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Abstract: (673 Views) |
| In this paper we examine the behaviour of electricity futures prices in changing the type of electricity supply to see what kind of information it would contain when we change the supply. The information varies in two types, risk premiums and the ability to forecast spot prices. So we use two different markets, Nordpool market and Netherlands market and besides that we analyse the position of electricity futures contracts in Iran. Nordpool market mostly uses hydropower to produce power and Netherlands market uses fossil fuels which have the ability to be stored. We conclude that the futures prices from Nordpool have the ability to forecast spot prices but the futures prices from Netherlands contains information about both risk premiums and expected spot price changes. |
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| Keywords: Futures prices, risk primiums, energy exchange, electricity. |
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Full-Text [PDF 465 kb]
(145 Downloads)
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notification: Research |
Subject:
Special
Received: 2016/04/2 | Accepted: 2016/05/29 | Published: 2016/06/21
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