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• W2090620979 abstract "Understanding the nature of the forward premium is particularly crucial, but rather elusive, for a non-storable commodity such as wholesale electricity. Whilst forward prices emerge as the expectation of spot plus, or minus, an ex ante premium for risk, the manifestation and empirical analysis must focus upon realised ex post premiums. This presents modelling requirements to control for shocks to the spot expectation as well as the endogeneity of ex post premia with spot price outcomes. In addition, because electricity is a derived commodity in the sense that market prices are often set by technologies that convert gas or coal into power, it is an open question whether much of the premia in power may actually be a pass-through of the premia in gas (or coal). Using a four dimensional VAR model we are able to distinguish fundamental and behavioural aspects of price formation in both the daily and monthly forward premia from the British market. We present new evidence on daily and seasonal sign reversals, associated with demand cycles, the greater importance of behavioural adaptations in the risk premia than fundamental or spot market risk measures, and the substantial fuel risk pass-through. We also show the value of a nonlinear specification in this context." @default.
• W2090620979 created "2016-06-24" @default.
• W2090620979 creator A5023298852 @default.
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• W2090620979 date "2013-09-01" @default.
• W2090620979 modified "2023-09-29" @default.
• W2090620979 title "The forward premium in electricity futures" @default.
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• W2090620979 doi "https://doi.org/10.1016/j.jempfin.2013.06.002" @default.
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