Modelling Long-Term Electricity Contracts at EEX

Robert Flasza (), Milan Rippel () and Jan Šolc
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Robert Flasza: Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic, http://ies.fsv.cuni.cz/
Milan Rippel: Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic, http://ies.fsv.cuni.cz/

No 2011/08, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: The main aim of this paper is to develop and calibrate an econometric model for modelling prices of long term electricity futures contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks which have to be taken into account for modelling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Fututes with next year´s delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Y and 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX.

Keywords: electricity futures; EEX; ARIMAX; emission allowances (search for similar items in EconPapers)
JEL-codes: C32 C53 G13 O13 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2011-03, Revised 2011-03
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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