Title :
Risk premiums in electricity forward prices — data from the ISO New England Market
Author :
Parsons, John E. ; Roo, Guillaume De
Author_Institution :
Center for Energy & Environ. Policy Res., Massachusetts Inst. of Technol., Cambridge, MA
Abstract :
We document the forward premiums in the ISO New England wholesale electricity market, measured by the difference between the hourly day-ahead and real-time prices. Following Longstaff and Wang (2004), we show how these premiums are related to the variance and skewness of the real-time price distribution and how the premiums vary conditionally to reflect the varying uncertainty in the real-time price.
Keywords :
power markets; ISO New England market; electricity forward prices; hourly day-ahead prices; real-time prices; risk premiums; wholesale electricity market; Electric variables measurement; Electricity supply industry; Electronic mail; Energy consumption; Forward contracts; Helium; ISO; Macroeconomics; Power markets; Uncertainty; Electricity; Forward; Premium;
Conference_Titel :
Electricity Market, 2008. EEM 2008. 5th International Conference on European
Conference_Location :
Lisboa
Print_ISBN :
978-1-4244-1743-8
Electronic_ISBN :
978-1-4244-1744-5
DOI :
10.1109/EEM.2008.4579089
