A first look at the empirical relation between spot and futures electricity prices in the United States

Hany A. Shawky, Achla Marathe and Christopher L. Barrett

Journal of Futures Markets, 2003, vol. 23, issue 10, 931-955

Abstract: In this article we investigate the statistical properties of wholesale electricity spot and futures prices traded on the New York Mercantile Exchange for delivery at the California–Oregon Border. Using daily data for the years 1998 and 1999, we find that many of the characteristics of the electricity market can be viewed to be broadly consistent with efficient markets. The futures risk premium for 6‐month futures contracts is estimated to be 0.1328% per day or about 4% per month. Using a GARCH specification, we estimate minimum variance hedge ratios for electricity futures. Finally, we study the dynamic relation between spot and futures prices using an Exponential GARCH model and between the spot and futures returns series using a vector autoregression. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:931–955, 2003

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:23:y:2003:i:10:p:931-955

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().