EVALUATION OF THE EFFICIENCY OF THE IBERIAN POWER FUTURES MARKET (En: International Conference on Industrial Engineering and Industrial Management. XII Congreso de Ingeniería de Organización. Universidad de Burgos. Burgos, 4 de Septiembre de 2008)

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