EconPapers    
Economics at your fingertips  
 

Price Volatility in Commodity Markets with Restricted Participation

Andreas Knaut () and Martin Paschmann
Additional contact information
Martin Paschmann: Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI)

No 2017-2, EWI Working Papers from Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI)

Abstract: Analyzing commodity market dynamics, we observe that price volatility increases with reduced contract duration. In this paper, we derive a theoretical model depicting the price formation in two markets with altering product granularity. Supplemented by empirical evidence from German electricity markets for hourly and quarter-hourly products, we find that the high price volatility is triggered by restricted participation of suppliers in the market for quarter-hourly products as well as by sub-hourly variations of renewable supply and demand. Welfare implications reveal efficiency losses of EUR 96 million in 2015 that may be reduced if markets are coupled.

Keywords: Commodity Markets; Price Volatility; Sequential Market Organization; Short-Term Market Dynamics; Electricity Market Interaction; Short-Term Price Formation (search for similar items in EconPapers)
JEL-codes: C13 C51 D44 D47 L94 Q21 Q41 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2017-01-19
New Economics Papers: this item is included in nep-cta and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://www.ewi.uni-koeln.de/cms/wp-content/upload ... ommodity_Markets.pdf Full text (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:ris:ewikln:2017_002

Access Statistics for this paper

More papers in EWI Working Papers from Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI) Contact information at EDIRC.
Bibliographic data for series maintained by Sabine Williams ().

 
Page updated 2021-02-22
Handle: RePEc:ris:ewikln:2017_002