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Electricity markets volatility: estimates, regularities and risk management applications [An article from: Energy Policy]
Book Details
PublisherElsevier
ISBN / ASINB000RR8UV2
ISBN-13978B000RR8UV8
AvailabilityAvailable for download now
Sales Rank99,999,999
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Energy Policy, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
The recent deregulation of the market for electric power in many parts of the US and Canada has expanded the set of potential tools for managing the types of risks faced by both generators and consumers of electric power. In particular manufacturing and other firms whose operations are powered by electricity now face, on a continuing basis, the engineering management decisions concerning whether they should buy or produce electricity, and if they are to buy or sell electricity, what types of contracts are optimum. These types of risk management decisions typically involve futures, forwards, options and other financial derivatives. The price and volatility of electric power are known to play an essential role in determining which of these instruments should be used. However, electricity as a commodity possesses certain special features not shared by other commodities and hence its risk properties are not yet well understood. In this paper we consider and test certain hypotheses about the properties of electricity price using recent market data. We find that electricity prices possess certain volatility and other systematic properties that can be characterized by the type and method of delivery of electricity. These properties can be used by firms in formulating their optimal demand and supply schedules of electric power.
Description:
The recent deregulation of the market for electric power in many parts of the US and Canada has expanded the set of potential tools for managing the types of risks faced by both generators and consumers of electric power. In particular manufacturing and other firms whose operations are powered by electricity now face, on a continuing basis, the engineering management decisions concerning whether they should buy or produce electricity, and if they are to buy or sell electricity, what types of contracts are optimum. These types of risk management decisions typically involve futures, forwards, options and other financial derivatives. The price and volatility of electric power are known to play an essential role in determining which of these instruments should be used. However, electricity as a commodity possesses certain special features not shared by other commodities and hence its risk properties are not yet well understood. In this paper we consider and test certain hypotheses about the properties of electricity price using recent market data. We find that electricity prices possess certain volatility and other systematic properties that can be characterized by the type and method of delivery of electricity. These properties can be used by firms in formulating their optimal demand and supply schedules of electric power.
