ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis

Francis A Longstaff and Ashley Wang

University of California at Los Angeles, Anderson Graduate School of Management from Anderson Graduate School of Management, UCLA

Abstract: We conduct an empirical analysis of electricity forward prices using a high-frequency data set of hourly spot and day-ahead forward prices. We find that there are significant risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors such as the volatility of unexpected changes in prices and demand as well as the risk of price spikes. In contrast to the popular post-Enron view that electricity markets are easily manipulated, these results support the hypothesis that electricity forward prices are determined rationally by risk-averse economic agents.

Date: 2002-07-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://www.escholarship.org/uc/item/3mw4q41x.pdf;origin=repeccitec (application/pdf)

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:cdl:anderf:qt3mw4q41x

Access Statistics for this paper

More papers in University of California at Los Angeles, Anderson Graduate School of Management from Anderson Graduate School of Management, UCLA Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().