Autor
CAPITAN HERRAIZ, ALVARO
RODRIGUEZ MONROY, CARLOS
Organismo regulador / editor
UNIVERSIDAD POLITECNICA DE MADRID
Fecha
Materias
ENERGIA ELECTRICA
MERCADOS ELECTRICOS COMPETITIVOS
País
PORTUGAL
ESPAÑA
Resumen
Market efficiency is analysed for the Iberian Power Futures Market and other European power markets, as well as other fuel markets through evaluation of ex-post Forward Risk Premium. The equilibrium price in OMIP compulsory auctions for distribution companies seems reasonable for remuneration purposes. In the period considered (August 2006 to April 2008), monthly future contracts behave similar as quarterly contracts. Average risk premia has been positive in power markets and negative in fuel markets. Different hypothesis are tested regarding increasing volatility with maturity and regarding Forward Risk Premium correlations (negative with variance and positive with skewness of spot prices). Enlarged data sets are r ecommended for stronger test results. Energy markets tend to show limited levels of market efficiency.
Table of Contents
1. Introduction 2. Literature Review 3. Assessment of OMIP Equilibrium Prices 4. Analysis of Basic Statistics 5. Analysis of Ex post Forward Risk Premium 6. Conclusions 7. References
Tipo de Contenido
CONGRESOS, CONFERENCIAS Y SEMINARIOS ORGANIZADOS POR ARIAE
Palabras clave
MERCADO ELECTRICO MAYORISTA
CONTRATOS
PRECIOS
EFICIENCIA ECONOMICA
TRADING DE ENERGIA
SUBASTAS DE ENERGIA
OMIP
MIBEL
MERCADOS OTC
MERCADOS SPOT
MERCADOS FUTUROS OPCIONES