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DOI | 10.1016/j.enpol.2018.07.031 |
Default supply auctions in electricity markets: Challenges and proposals | |
Ignacio Pena, Juan; Rodriguez, Rosa | |
2018-11-01 | |
发表期刊 | ENERGY POLICY
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ISSN | 0301-4215 |
EISSN | 1873-6777 |
出版年 | 2018 |
卷号 | 122页码:142-151 |
文章类型 | Article |
语种 | 英语 |
国家 | Spain |
英文摘要 | This paper studies premiums got by winning bidders in default supply auctions, and speculation and hedging activities in power derivatives markets in dates near auctions. Data includes fifty-six auction prices from 2007 to 2013, those of CESUR in the Spanish OMEL electricity market, and those of Basic Generation Service auctions (PJM-BGS) in New Jersey's PJM market. Winning bidders got an average ex-post yearly forward premium of 7% (CESUR) and 38% (PMJ-BGS). The premium using an index of futures prices is 1.08% (CESUR) and 24% (PJM-BGS). Ex-post forward premium is negatively related to the number of bidders and spot price volatility. In CESUR, hedging-driven trading in power derivatives markets predominates around auction dates, but in PJM-BGS, speculation-driven trading prevails. The policy recommendation to market regulators and administrators is that they should gauge consumers' price risk aversion before introducing alternative methods to default supply auctions for the computation of the part of cost of energy of the electricity bill of customers whose contracted capacity is small and are not served by other suppliers. |
英文关键词 | Electricity markets Default supply auctions Speculation and hedging Power derivatives |
领域 | 气候变化 |
收录类别 | SCI-E ; SSCI |
WOS记录号 | WOS:000447576700013 |
WOS关键词 | TRADING VOLUME ; FUTURES ; RISK ; EFFICIENCY ; EVENT ; POWER |
WOS类目 | Economics ; Energy & Fuels ; Environmental Sciences ; Environmental Studies |
WOS研究方向 | Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/16710 |
专题 | 气候变化 |
作者单位 | Univ Carlos III Madrid, Dept Business Adm, C Madrid 126, Madrid 28903, Spain |
推荐引用方式 GB/T 7714 | Ignacio Pena, Juan,Rodriguez, Rosa. Default supply auctions in electricity markets: Challenges and proposals[J]. ENERGY POLICY,2018,122:142-151. |
APA | Ignacio Pena, Juan,&Rodriguez, Rosa.(2018).Default supply auctions in electricity markets: Challenges and proposals.ENERGY POLICY,122,142-151. |
MLA | Ignacio Pena, Juan,et al."Default supply auctions in electricity markets: Challenges and proposals".ENERGY POLICY 122(2018):142-151. |
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