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

Journal of Futures Markets - Tập 23 Số 10 - Trang 931-955 - 2003
Hany A. Shawky1, Achla Marathe2, Christopher L. Barrett2
1School of Business, University of Albany, Albany, New York
2Los Alamos National Laboratory, Los Alamos, New Mexico

Tóm tắt

AbstractIn 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

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Journal of Futures Markets

Tập 23 Số 10

931-955

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